In my opinion the decision runs something like this:
1- if you live somewhere pretty cold (to 0 F qualifies, although possibly not by *much*) and your coop is reasonably large e.g. 10x10 and up AND is built on a dirt or cement slab floor, insulation gives you a lot of benefit. For example, my 15x40' building, with heavily insulated 6" stud walls and ceiling and a slab floor, does not get below the low +20s F even on nights when the outdoors gets down to like -25 F. (This is with no ventilation open at night, but you can DO that if you have low stocking density and good hygeine).
2- if you are thinking you may want to run a heatlamp or other heating appliance, on a more than very occasional basis, it makes great financial sense to insulate, and a fair bit of safety sense too -- because you will be able to heat for less time and with lower wattage, thus cheaper and safer.
3- if it is a very small (such as tractor or reach-in size) coop, where balancing ventilation and temperature and drafts is awfully difficult in cold winter climates, it is real worthwhile to insulate so you have more freedom to jigger with things and not get it too cold in there (which can be a problem b/c of humidity and drafts...)
4- Otherwise, if you are in a climate where temperatures drop below freezing on a regular basis it is probably never a *mistake* to insulate, and you will get some benefits from it, but you do not HAVE to, it is not a great big deal.
I think your situation probably falls somewhere between #3 and #4.
JMHO,
Pat
