Do you have a basement? If their coop/run isn’t suited for that type of wind I might consider bringing them inside with me. A lot of the answer to this question might depend on your set up. What’s the highest winds you’ve (they’ve) endured?
We’ve have horrible wind from 60-105mph (records set) here the past week but not storms along with it and we didn’t need to modify anything. Trees were uprooted in some areas, but no buildings that I know of were damaged. Wind that strong is somewhat normal here, though. If your infrastructure isn’t made for winds that high, you might shelter like you would for a tornado.
Ours have always done just fine in their 8x8 shed converted to a coop in the high winds. It does get a bit drafty, but I hang drapes over the door and windows on the inside during the winter when the winds pick up.