I used a heat lamp for years in my coop until one darn near burned down when a heat lamp cam unattached to the holder and fell into the wood shavings. Actually I suppose I did use a heat lamp the next year but that was it and hubby rigged them so they could not fall anywhere, ever.
But, thats not my story really.
When I was using heat lamps, It seemed I had many birds with colds over the winter, which to me meant they were too cold and needed it- the cold was making them sick. And I have some single combed bantams and they would get frostbite every year no matter. After that last year, I stopped using a heat lamp just to see how they did. And imagine my surprise after that first year we had no sickness and no frostbite!
My part of colorado is dry, and we do not usually get much in the way of snow but it gets fiercely cold, a few times int he winter, for weeks- below 0°F
Its been a few years now since I removed all heat lamps and my Dutch bantams never get frostbite anymore and I rarely have a sick bird in winter. Actually it got so bitter cold again this winter for a week that all my silkies actually had FROST on their backs in the morning. All lived and all were fine.
Oh I also have to add my reasoning on no heat lamps. See, I think that the heat from the lamp, and the cold around it, mixes together and causes condensation, and thats what causes the moisture that makes the frostbite and sickness. If you have really bad windows in your house (I had for years) what happens in winter? The outside cold meets the glass and the heat on the inside meets the glass and you get moisutre and or ice on the window pane.