Okay...my coops are insulated. But really, if your roof/ceiling isn't insulated, or you aren't planning to insulate THAT, then there's really no point of insulating the walls (assuming the walls are tight/no gaps) IMO; any heat, including chicken body heat, will rise up and go through the roof. I have regular old fiberglass insulation in my coops, but the foam sheets would work too - as was mentioned, it'd need to be covered.
Your vents sound fine to me...are they under the eaves of your roof?
As for heating devices, that depends on many factors. I've used clay pot heaters (like the cookie tin heaters you can find here on BYC), heat lamps (which many people hate - but if SAFETY considerations are observed can work really well w/lower wattage bulbs). I've used a contained oil filled heater (looks like an old time radiator) in one coop...lowest setting to take the worst of the cold off at night. A heating pad would work about like a cookie tin heater I'd think...I guess they could sit on it if they wanted a warm place to snuggle -you'd need to test the settings right against your skin to make sure they only warm...
A lot comes down to observing safety and how much you want to spend (electric bill)...