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Try not to think of it as keeping the chickens warm, but preventing them from freezing. They can tolerate cold temperatures far better than you can.
Much was made in the last century about "fresh air" houses, i.e., open fronted coops. These were shed roof designs, to conserve materials and simplify construction. Back then they advocated double layers of tarred felt on the roof. Asphalt shingles over roofing paper should do as well. Their shed coops were sided with planks, but I would use either plywood covered with siding shingles or rolled roofing. Also, whatever inexpensive siding material was available to you would be as good.
These coops had large windows on one side facing south, covered with screen and canvas blinds - no glass.
The blinds were oiled canvas or oilcloth stretched on frames, sized to fit the framed opening. On fair winter days or during summer they were raised like an awning, providing natural light and shade, like an awning. When the weather turned nasty, they were fit into the opening and secured, to shut the coop up from the elements.
Some people advocated coops with NO coverings on the front, in fact, and much of the development of these coops was in Rhode Island and Maine.
Make sure you have a 2 ft. eave on your coop. It will help keep driven snow and rain out of it. You may also wish to add weather flaps to the top foot of window opening. These can remain open under the eaves, in bad weather, to provide insulation.
I suggest you insulate the coop, just as you would a house. This includes the walls and ceiling. But leave no insulation exposed where chicken can reach- chickens love it and will shred it to bits!
Leave the front open with the large openings, as described. Add an entrance door for you. None of this is expected to be air tight, either. Ventilation, especially in winter, is crucial.
For heat, I would add a small "milk house" heater. These are rugged, low wattage fan driven heaters. They,re not designed to provide cozy warmth, but rather to keep thigns from freezing. Place one near the roosting area with a sloped cover over it so the birds cannot perch on it.
Get one of those coffee mug warmers at the local thrift store and keep it under the water panto prevent the water from icing over. Affix a domed wire frame over the water so the chickens can get their head in, but cannot climb up on or in the water pan itself.
Should you follow my advice, you'll include electric power, so add an electric lamp overhead every 6-8 feet.
If you want so see more on this idea, visit this link:
http://www.journeytoforever.org/farm_library/ppp/ppp4.html
