You can get styrofoam insulation for free if you ask around at stores (some goods are shipped with sheets of styrofoam as packing, the stores would usually rather give it away than throw it away).
Whereas a heat lamp will cost *significant* money on an ongoing 'forever' basis, ever winter.
Assuming you pick your breeds intelligently and design your coop well, you shouldn't need a heat lamp around here. Really.
If you *do*for some reason need to run a (lower wattage) lamp on the coldest nights, you will still be far better off having insulated and designed the coop to be as heat-retentive as possible.
Heat lamps can get EXPENSIVE, even aside from the fire hazard thing.
Good luck, have fun,
Pat