I know what you mean, I get so attached to my babies. What I did for my keets was move them out into a rabbit hutch in my patio after they were about a month old. I only had five so it worked well for the time being but I had to quickly move them out to the coop. I live in California so it is getting hotter here as the years pass so I dont worry about heat lamps at night unless it is in the fall or winter. I place a thick cloth over the hutch for them. My guineas keets where very attached to my family and myself, they loved sitting on our shoulders at night and hanging there heads down (as you described your keets doing when sleeping on the roost, its so odd), so when the move to patio came they were very whiny and disliked it. They wanted to roam in the house, such silly birds. When I moved them to the coop they hated it even more than the patio and actually anted to return to the patio since it was closer to us. They eventually adjusted and were very happy when the free ranging began.
It all depends on what you want. If you want them closer to you then you can keep them closer or if you feel its time for the pole barn than go ahead and do it. Just make sure everything is predator proof. You can also place a heat lamp or two and if they are cold they will huddle under it.
Also, might I suggest that you handle your keets more. I only had five and a big family that always handled them so my keets were very attached and tame. Don't worry about them struggling they'll realize you mean no harm. Feed them treats from your hands and let them out of the brood and just allow them to sit on your shoulder or in your lap(I always had some paper or something so if they pooed it wasn't on me).