I would not insulate. If you insulate, you run the risk of condensation building up and keeping it wet. Ducks have down jackets on! I live in Maine, mine were cold this winter, but were fine, and as long as they are able to get out of the wind and elements and have dry straw (not hay) to snuggle down in, they will be fine. Make sure they are well fed, have non frozen water and can choose to go inside if they wish. They will do okay.
Definitely go larger if you are able. Right now you want three, but you may end up with more at some point, they are addicting.
I use a heated dog dish for water in the cold temps, it sits in a larger dish to catch drips, with a narrow notched board across the top, so they cannot bathe in it.