The snow had just fallen when I took this one this past spring.  Temperatures were right around freezing.  Since it fell while they were outside, they accepted it.  Often it takes a few days for them to brave a snow if it falls overnight.  
		
		
	
	
It was 4 degrees above zero Fahrenheit when I took this a few years ago.  I leave the pop door open and let them decide whether to come out or not.  As long as a cold wind is not blowing, they go outside.  I do not heat or light my coop.
I don’t know what your coop or run looks like or anything about your chickens, age or breed.  I’ve seen chickens sleep in trees in below zero Fahrenheit weather.  Those trees were in a protected valley, were really thick, and the chickens could move around to get out of any direct breezes if they wanted to.  They had great ventilation and did not get frostbite although they had single combs.  
I don’t know if your coop provides reasonable wind protection or if it is set up so the wind is concentrated to blow directly on them no matter where they are in it.  I don’t know if your coop provides good ventilation or leaves the moist air trapped in there.  Moisture comes from their poop (if it is not frozen solid) and their breathing.  Moisture can help lead to frostbite.
In my opinion if you want to set up a windbreak with hay bales, tarps, or anything else, that would be great.  Mine really don’t like a cold wind hitting them.  Chickens often won’t go out in snow for a day or two after they first see it.  They don’t like change and to wake up to a snow is a big change for them.  Keeping snow out of at least part of your run would be good.  I certainly agree with Fred on that.  But whether you need to do any of that I really don’t know.