gambels are native here in Arizona and most of the time i see them in the desert areas where winters only as low 40 degrees at peak of winter. although i have seen them in higher elevations where it gets colder then that, just not as many as in the desert. so if MA get colder then that i would think they would need a heat source to be comfortable. bob white quail might be better choose for colder temperatures.
No, your Gambels won't need any heat, unless the temp drops below zero. They are desert dwellers where the temp commonly drops well below freezing. However they come from a very dry territory. So make sure they have adequate shelter where they can get completely out of all wind, rain and snow.