I have 4 chickens in a 4x8 coop/pen with a 2x4 roost box (pic on my BYC page). I have plastic (left over from my greenhouse) around the pen to block the wind and snow. The roost box is not insulated, bu has about 8 inches of pine shavings on the bottom, and has ventilation across the top of the front. It's been well below freezing here for the past few days and my girls go in and out at will. They come out for a while and scratch around, then go in and rest a while, then out again. They seem to be doing just fine. At night I close the pop door of the roost box and they perch on their feet on a 2x4. When I checked them this morning, their feet and bellies were nice and warm, no one was all ruffled up or shivering, and they all came tumbling out as usual to eat and drink.
I think I have to agree with those who remind us about the wild birds doing just fine in this weather. And I think, overall, we won't be doing our girls any real favors by pampering them too much. I'd hate to think what would happen if my girls didn't feather out enough to be comfortable if my electricity went down and I couldn't heat their coop for them.
I make sure my girls have plenty of fresh water (heated dog bowl) and food. I give them extra protein and a suet block as well as BOSS, scratch and fresh greens. They really look pretty happy and healthy to me and are waiting at the door to go out in the morning, even when it's barely above zero degrees.
Just MHO, and everyone has to do what they think best for their girls. Good luck.
