I think it depends. Knowing your coop/flock size situation from the other thread, I think you would be fine putting them in the coop.
I prefer keeping them in the run because it is easier access. They also do a lot more pooping in the coop than in the run and I'd prefer to keep as much of that out of the feed as possible!
As for winter, -30F is pretty cold. If you only get a few nights that cold, you may just want to bring the bucket inside your house for the night. Here is the bucket heater I have used for 2 winters now down to about -9F. Others have used it down to -30F, some have had no problems, others have had icing up issues. This is with horizontal nipples. The vertical nipples freeze too easily in my experience. Also, you're better off for winter to install the horizontal nipples about 3 inches up from the bottom edge of the bucket...this allows the heat rising from the bucket heater to rise up and better keep the nipples thawed. Or so I've heard...I've not had issues with them only at 1.5" up, but it doesn't get as cold here as for you.
http://www.amazon.com/dp/B002QXN1H8/ref=twister_B002QXN1I2?_encoding=UTF8&psc=1 (actually the price now is the best I've seen ever) Remove the floater ring so it sits on the bottom of the bucket. I've had bad experience using a submersible aquarium heater...it nearly started a fire. This K&H heater is MUCH safer...it turns off automatically when it loses contact with water, unlike the aquarium one that was supposed to do the same thing.