Mine put themselves into the coop I shut the big window and left the pop door into the closed run open - their food and water is in the run (covered). They did just fine. I gave them treats today and did the same tonight since we are experiencing heavy rain and thunder.
I had to put mine in the henhouse yesterday around 4pm when it started getting bad here in MA. I wasn't so much afraid of them getting wet, but all of the debris that started flying around. I was also a bit concerned about the pine trees that were doing a lot of swaying. I thought for certain we'd lose a tree or two. I let them back out this morning and they seemed a bit dazed. I think Sandy had them a bit freaked out! After a few minutes though they were back to their usual happy selves.
I hope everyone's flocks and other beasties made it through the storm without loss.