Despite the sub-zero temps, wind-chill factor, and risk for frost bitten toes and tips, my girls have heroically braved the outdoors today. Of course I put boards along the bottom of the run and hung some plastic along most of the upper areas, but it was still painfully cold in the run today...
I'm in the same boat you're in. There is really no way I could/would put a heat lamp in, plus as you say it wouldn't matter much anyways with temps so low. My coop is only partially insulated, with alot of ventilation up top, and fairly draft-free. It's 4x8, and 6/5 tall, with only 6 hens...