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Another option is a dog crate filled with pine shavings they can nestle down into, in the garage, especially if it's an attached garage. You don't want to bring them inside a normally heated home, though, because the sudden temperature swing when they go back out into the cold is very...
As a fellow Coloradan, if you are really worried about them, put them in a dog crate in the basement for a night! Brr it is cold!!!! Why isn't spring here yet?