Don't give in to straw bales! They make fantastic nests for rats and mice, especially with the temptation of the smell of chicken feed close by. Unless you've got some pretty amazing rodent proofing, I wouldnt suggest storing bales near anything that you want to keep the little pests out of.
Heres a fantastic article that might make you feel a bit better about keeping chickens in colder weather:
https://www.backyardchickens.com/articles/cold-weather-poultry-housing-and-care.72010/
Heres a fantastic article that might make you feel a bit better about keeping chickens in colder weather:
https://www.backyardchickens.com/articles/cold-weather-poultry-housing-and-care.72010/
Does your shed have any ventilation in the roof at all? (Not sure if I missed that answer)