I have no insulation in my coop. I also have no heat source in there aside from what Mother Nature provided them with - amply! Lots of down, lots of feathers. What kind of coats do we love in winter? Yep.
I second the 2x4 laid flat for roosting so they can sit on their feet. You're right, I'd be concerned about the amount of moisture from blowing rain and/or snow, so wrapping is a good idea - just don't make it airtight. Humidity and drafts are harmful to our chickens, but cold isn't. I'm in Northern Wyoming not far from Yellowstone, so we see waaayyy cold weather. The day I picked my chicks up from the post office it was 19 below zero, and had been well below zero for a couple of weeks. You have chosen some pretty winter hardy breeds, too.
I'm using the deep litter method in my coop - grass clippings, leaves, weeds from the garden and pine shavings - and on chilly days I have to laugh at all the holes dug into it....holes in the shapes of chicken bodies! They dig down and then snuggle. I have 3 working windows, an exhaust fan, two vents near the ceiling in addition to a big gable vent, and a long skinny vent in the north wall, plus a floor vent on the west directly opposite the always open pop door. This ventilation is divided up between all four walls, which means that I can shut down the openings on whichever side the wind is howling from to prevent direct drafts.
In April I put my 5.5 week old chicks out in the coop before it was finished, and started with a heat lamp. After the second night of them not even going over to that area but huddling together instead in front of the pop door, I took the lamp out. That night it snowed, and it snowed many times after that as well. In fact, we saw our last snowfall on June 6th. They are fine, hale and hardy and now as the nights are getting colder again (we've already had snow in the area once) their feathers are getting denser.
One other critical thing to take into account is that if your chickens are used to a warm (relatively speaking) coop what will you do when the power goes out and they aren't used to the real temps out there? It's far easier on them to gradually get used to the temperatures dropping than it is to have them living in a constant temperature and then suddenly and dramatically losing that heat.
There's a very smart man on BYC whose avatar is a photo of his coop...his totally OPEN in the front coop with no walls, just hardware cloth.....and you can see his chickens happily poking around in their coop. Oh, and the snow is piled up in feet around and on his coop. His birds thrive, and he's been keeping them in that type of housing for years. He lives in New England where they don't have the dry cold we have. So I'd say that if you can ventilate your coop adequately to keep humidity down while avoiding direct drafts on them and keep the bedding dry, you are way ahead of the game and your chickens should be fine. They put out a lot of humidity with breathing and pooping, and that needs to have a way to get out.
I plan to cover my outside run with heavy duty clear plastic (the kind designed for greenhouses) to trap heat in the daytime and yes, my chickens did go out into the run last winter even in the snow, and even before I decided to use plastic. They weren't real crazy about that white stuff, but they love the sunshine so they forced themselves.