Give them a big heap of dry straw, and they'll burrow down into it.
My suggestion would be a small 'doghouse' type structure, stuffed with enough straw that it could bury quail, being sure they can get in through the entrance. Also, a heap of straw just in a corner, so they can choose where to be. Little tiny birds like chickadees do fine in the cold, so quail with insulation should be fine. As long as the wind is off them and they aren't wet, they should be pretty comfy. Heck, build them a little dome of pine boughs and throw straw over the top like one of those survival shelters.