Close vents/ windows on the windy side to keep the coop dry inside. Hang food and water inside even if you usually keep it outside. If winds are going to be strong keep them inside. If the winds aren't too terrible let them choose. If the water doesn't get more than a couple of inches deep in their pen they can wade in that (if they choose) with out harm. This is assuming your coop is sturdy and located in an area that won't flood. For a fast moving storms that will only be really serious for a few hours you could put them in a crate/pen in a garage. That might be a little much for a slow moving storm that will linger for a day or more.