I'm over here in Maine and no, I would not recommend insulating as it will hold in the humidity from the feces and amonia which will do more harm to your birds then low temps.
Using the deep litter method will help insulate and the action of the composting litter will help out.
On cold days like you mention I don't let my girls out, they have the option, but wind chill and weather are the deciders.
Also, for your girls sake, make sure the roost is large enough so that they can bring their breast and feathers down over their middle toe.
Ducks, Geese and Turkey's are fine- don't know why, but a hen will freeze her toes, also if she stays out of the coop to long. So just be aware.
Oh, I do put card board on the ceiling to "insulate". We do have tarpaper around the back side of the coop that is in a shed, and shingles on the outside. So in a way it is insulated- at least the large areas of breeze is stopped.
Good luck!