I have two Cochin Bantams that have done fine through winters here on the Very Windy and Often Too Cold prairie of northern Iowa. Temperatures last winter dipped into the double digits below zero, not even counting the wind chill -- which was terrifying.
I was initially reluctant to take the frizzle (bought them from a 4H-er) because I had heard that frizzles didn't do well in the cold. I put my money down when Anna said, "Well, they both made it through last winter fine." Gabby and Sally live in a small, uninsulated coop with pine shavings on the floor and have come through all their winters like little troopers. And, they are the cutest things ever.