I have a dog carrier with the door removed in each of my duck pens, and I make sure it stays filled with straw. Dog carriers have lots of ventilation, are waterproof enough for most weather, and can be easily washed as needed. This can double as a nest. I do find that some ducks completely ignore the shelter and sleep in rain and sleet. But they do go in their crates on their own when there's a lightning storm or snow.
I keep 2-3 ducks in a 4 by 6 pen, and they get 1-2 days a week ranging around the barnyard, which is fenced against foxes. I notice more predators in the fall, so everybody is locked up in their pens at night.
For water in the barnyard, I use a doubled-up kiddie pool. For water in the pens, I use those black three-gallon tubs they sell in farm and feed stores. They are big enough to drink from or bathe in. They are also easy to tip ice out of as needed. If you place them in a sunny and uncovered spot, Mother Nature will help you keep them thawed and filled.
BTW, I don't heat outside, and I live in zone 5. As LT71689 said, above, hay or straw bales are great. If they have access to them, the ducks will happily harvest the earthworms, even in winter. When the bale gets too low, you can add another one on top. I don't use tarps anymore, because they disintegrate into little plastic shreds. I do keep a roll of clear tablecloth vinyl from the local five-and-dime for emergency housing for cover. Be sure to allow enough ventilation if you use tarps or vinyl.