Try not to let your chickens go out in the winter as this can cause frost bite or stress. Keep them inside with some hay or straw, (straw works better since its more of a bedding then hay.)
i would use a heat lamp but if your worried about a fire dont use it.
This is actually rather bad advice - keeping birds cooped up is more of a risk in many ways. Frost bite is an issue of cold, moist air - the air outside in winter is dry, the air inside the coop, though, is often moist (especially if poor ventilation is in place) due to the closed in respiration of the birds and the incredible amount of moisture in their waste - plus, if locked inside you have to keep water in the coop and that adds an instant source of moisture to be drawn into the air. Likewise, stress is actually increased, not decreased with forced confinement. Keeping multiple birds in a confined, closed space also increases the risk of illness and stress related behavior such as picking, etc.
Chickens are far more hardy than many folks give them credit for being. Allowing them to decide when they do/don't want to be out is a smart approach as they are able to withstand conditions outside what we would be comfortable in - if they feel it is too cold they won't go out.