Whether or not you should lock them up at night depends on your confidence in how predator proof your run is.  How precious your chickens are to you and how much a loss would hurt factors in too for most people.  A large run is more difficult to make actually predator proof than a smaller one the size you are talking about, but predators can be really good at climbing in, squeezing in, digging under, or pulling wire or even boards loose.  Plenty of people build runs that they consider predator proof and leave the door open all the time.  Others close that door every night.  It’s a personal choice.
We make coops out of all kinds of materials, especially when we repurpose a building or use what spare materials we have.  Some materials like metal conduct heat really well, so they can heat up and cool off pretty easily.  In extreme weather, heat or cold, that’s not good, but many are successful using metal.  For me it’s hard to beat wood.  It’s easy to work with and really strong if you get the attachments right.  With practically anything we use, the strength is more in the attachments that the material itself.  Wood does not conduct heat that well so is a natural insulator.
Chickens wear a down coat and can handle cold temperatures really well, much like the songbirds you will likely see at your bird feeder today.  A few years back someone I trust on this forum posted about some chickens that went feral in North Michigan and made it through the winter foraging for their own food, probably eating snow for water, and sleeping in trees.  They were not laying an egg a day and I would not say they thrived, but they made it.  They really can handle cold a lot better than people imagine.  But one of the things they could do sleeping in trees was move to get out of a direct wind.  Cold isn’t necessarily the enemy but wind is.  When we keep them in a coop we restrict how they can move around to get out of a wind.  
The flip side to this is that they need good ventilation.  They need to exchange good air for bad.  It sounds contradictory but the way you accomplish this is that you build a coop that allows air exchange without a breeze blowing directly on them.  To me, the easiest way to do that is to have some openings above their heads so any breeze goes over them, but there are other ways to accomplish this.  Your concern is not keeping the coop warm, it’s keeping the wind off the chickens so they can keep themselves warm.  
Your chickens are probably going to be in more danger from heat in summer than cold in winter.  Heat kills a lot more chickens than cold.  In summer you not only need good ventilation overhead but good ventilation period.  Openings at or below roost level are good in the summer.  
I consider these mandatory reading for anyone building a coop.  The lady that wrote them was in Ontario so she should have credibility for cold weather.
Pat’s Big Ol' Ventilation Page
 
https://www.backyardchickens.com/web/viewblog.php?id=1642-VENTILATION
Pat’s Big Ol' Mud Page (fixing muddy runs):
 
https://www.backyardchickens.com/web/viewblog.php?id=1642-fix-a-muddy-run
You might also want to follow the link in my signature for my thoughts on how much room chickens need.  I don’t believe in magic numbers for much of anything to do with chickens, whether that is square feet per chicken, hen to rooster ratios, or much of anything else.  We are all so unique that one magic number can’t be best for all of us.  I do find that the more I crowd them the more behavioral problems I have to deal with, the harder I have to work, and the less flexibility I have to deal with things that come up.  All these things either make my life harder or easier so I like to have extra room.  Some people really enjoy working harder and having drama in their life.  We are all unique too.  
Good luck and welcome to the adventure.