I insulated not for the cold, but for the heat. It gets cold in the coop, but it's about 15-20° warmer than outside - but in the summer it's a good 10-15° cooler inside the coop than out - chickens can deal with the cold better than they can deal with the heat! I'm happy we insulated, however, I do wish we had known more about ventilation. Leaving the windows open can get dicey when it's blowing cold out there. So far so good, though, my big BO roo hasn't lost anything to frostbite, and this has been a deuzey of a winter!
