Here is my set-up. I took an old frame playset and converted it to a chicken coop. It is 4x20, with breaks every 4 feet. I put chicken wire all around it. It has 1 by 6's for the roof, with gaps of about 1/2 inch. Otherwise it is totally open to the elements. The height varies from 2 feet to 5 feet. In the area that is 5 feet I put roosting boards close to the top. That is where they sleep every night. There is very little to break the wind, except for the 2 x 4 and 2 x 6 use to construct the frame of the playset. Should I be concerned? I put in a home made nesting box. The box is 20 inches wide by 34 inches long. It would provide them shelter, but they only go in it to lay eggs. Do I need to puts walls around the area where they sleep to protect them or will they go into the nesting box for shelter when the roost gets too windy or too cold? How cold is too cold? It got down to 20 today and with just a slight wind it felt very cold.
I think you should insulate the coop or at least cover up most of the openings so you can keep the wind out. Ideally a coop should be kept dry and draught free, but with a gap here and there for ventilation, so the hot air and poo fumes can escape. Chickens are wearing a feather duvet and they can arrange every single feather individually to get the most out of it. They are very good at regulating their body temperature. Even if temperatures drop below freezing. As long as they eat well and sleep comfortable they will be fine. Don't encourage them in any way to sleep in the nest boxes. That's what the roosts are for. Nest boxes are for laying in, not sleeping in and they will poop all over it and make a lot of work for you. Trust me, a nest box full of poo is no fun and they will lay on that poo or elsewhere if you are not there first thing to clean it out.
I would add walls, that could get very chilly. the only other thing you need to keep them warm is thick bedding.
I'd wall at least three sides, depending on where your wind usually comes from usually leave the south wall open. Or put a half wall on that side. I don't think you need to insulate unless you live sub arctic, just allow them to be out of the wind.
x2 Something to keep the wind out is a must. It's only gonna get colder between now and spring. I'd do an extra good job if your birds are small or slender bodied or have big single combs (bantams, Leghorns, etc.). Also,
