Pheasants, quail, turkeys and even wild chickens do not roost together and if they do they are in the open. They are nearly the exact same animal, with the exact same defense and adaptation mechanisms.
Bringing them inside and into heat is really not fair to the chicken, you are working against millions of years of evolution and the only outcome is the chicken suffers. I assure you single, well fed, well watered chicken in a coop can survive well below any cold temp in the US, even in a driving wind storm/snow storm.
The only reason we keep the window in our coop closed is because if it does snow, it will make a mess and a TON of work to clean up. It the window was on the south side, it would stay wide open in the winter (-34 low last year).
Not trying to sound harsh, or argumentative, it is just important that you know what they are capable of when making decisions. I would have never thought a silly little chicken would strut around at -30, but they do.