If you are going to run a heat lamp, by all means insulate heavily. Your hydro bill will thank you.
Even if you are not going to run a heat lamp (and unless you are in Northern ON, you probably don't need to, at least most of the time, and should think this through *carefully*) you will be better off with insulation.
Technically you may not "need" to but it would be an awfully good idea.
BTW do not get sucked into this thing that is so prevalent in Canada about 'let's shut the coop up real tight for the winter to hold in the heat'. People get frostbit chickens that way BECAUSE OF the resultant high humidity, and then feel validated in their decision, "just imagine how much worse frostbite they'd have had if I'd left vents open!" whereas in reality most breeds do fine with COLD, to a considerable degree, it is the HUMIDITY (from insufficient ventilation) that gets ya.
So "a" vent may not be enough. Make it BIIIIIIIIG, and adjustable, and preferably have them on several sides of the coop so that no matter what quarter the wind is from you can still keep some open.
To give you some idea what can be done with insulation (although, thermal mass is also a big contributor here), my chickens are in a 15x40 building that used to be a breeding/boarding kennel. It has a slab floor, superinsulated 2x6 walls and a heavily insulated ceiling. I use no heat except a mild boost from a solarized lean-to in front sometimes, and even *without* the solar heat and *with* popdoors open on both sides of the building for part of the day (which is a baaaaad idea in a windy site!), although our coldest winter nights are typically in the -25 C range and we've been down to -35 C, inside the building has never been below about -10 C. Neener neener. Thermal mass plus copious insulation.)
Good luck, have fun,
Pat