You are going to get lots and lots of conflicting information on this subject. Sorry. You will have to sift thru opinions, and lots of myths. When I built my coop, I got endless advice, some I ignored to my regret, some I cant believe people would ever follow! But here is what we have done, and we have 20 healthy birds, and some are over 5 years old, and still laying regularly.
We insulated using left over from house construction, we have ventilation provided thru a door to another part of the shed, as well as a single window that we can open during the summer (Hardware cloth keeps predators out of the open windows). We use a red heat light at night, as well as a clear heat light on cold winter days to keep the coop warm and sunny and increase thier light hours to 14 to keep egg production up. We installed an electric wall coop heater that we got from shop the coop.com with a thermo cube to turn it on at 35* and off at 45*. I watched my electric bill closely last year, and even in the coldest snowy winter I did not see a visible increase in our bill! (I was worried about that as electricity here is phenominally high)
Our coop is usually cool during the winter, but all of these simple elements keep it above freezing. Our flock has access to a predator proof run 24/7, and I often see them choosing to hang out in the coop on rainy or snowy days, the rest of the time they free range happily.
My advice is to try to eliminate drafts, with out sacrificing ventilation, at the least use a heat light on the cold nights, and consider the breeds you have chosen and whether they can handle the cold. Our Polish birds hugged the coop and stayed under the lights on rainy days, while our Cochins love tiptoing thru the deep snow! Big wattles and combs are susceptible to frostbite.
Studies have shown that red lights can reduce picking under stressful conditions, and my personal experience hasnt shown me any adverse effects. Tho I am sure some one will say differently!
Good luck!