Many folks don't insulate unless they live in very severe winter climate areas. I'm in southern Indiana and I did insulate my coop because my chickens are pets, so I wanted them to be more comfortable (it also helps with the high temperatures in summer). My coop stays about 10 degrees warmer than outside temps even if I don't use a heat lamp in winter. It also keeps it a bit cooler inside now that temps have gone up.
But most say chickens will do fine in a coop down to around 0 degrees if there are no drafts. It's really based on your view of your chickens.
If you do insulate, then you'll need to cover your insulation with something, because they will peck at it.