No heat needed. You can add extra bedding to the coop floor as an insulator, and make sure to keep drafts/wind off them. Chickens don't seem to get uncomfortable until we hit the teens, but even then, they'll acclimate. If you get super cold winters and are concerned, look into something called a Sweeter Heater. You do need lots of head clearance over the roost, but it's meant to take the edge off for their combs (not heat the coop).
The only birds you need to be careful of free-ranging in winter are those with feathered feet. The feathers will get wet in the snow, then freeze overnight on their poor toes. You really don't want frost bite!