No we just have them roost inside the coop!Do you have somewhere to roost that's inside the run but not inside the coop? We have a (secure) covered run and one of those little box coops, and, long story short, the preferred roosting spot is a piece of wood screwed to the propped-up nestbox lid.
Last year was the first winter they did that and it was a really mild one here, but it did go below freezing for several nights at a time.