If you give them ample shelter, you don't need heat for them. They know how to snuggle down to keep warm. DO keep some fresh straw in the duck house for them.
My duck house is 4 feet by 3 feet and plenty big enough for them to all go in and snuggle down. However, they stayed out all winter...
Actually, a female duck is a duck, not a hen. But I do know most people refer to them as hens. I do when talking to most people because they just don't know that.
I doubt you need to bother until it gets to 20 below zero. I waited to put my ducks out last year until I had their little house built, and they never went in it until about the end of January when it was so cold and blowing so hard, they must have felt they had no choice. They stayed out even...