Who turns on the heat lamp for the chickadees and other birds outside?? It just isn't necessary, but do whatever you like.
While I do mostly agree with this (and don't provide supplemental heat for my own birds) one thing to keep in mind is that wild birds have the freedom to seek out the best places to stay warm in winter and cool in summer, while domestic birds, kept in a coop/run, are far more limited in their ability to seek out the best places to be.