Ducks are even tougher than chickens when it comes to the cold, wind and snow. Leave them be. Do not add any heat because you will cook them. They will orient themselves outside in the snow so that the wind barely skims over them. They are pretty aerodynamic when they want to be. Moving through heavy snow is not a problem for them- they will "swim" through it like they do water. Just make sure they have access to feed and water. They probably will not even drink the water because they tend to hunker down, tuck their heads and feet into their feathers, and eat snow as they need it for fluid. I have worried over my ducks for the last 2 winters, but I am realizing that they are absolutely fine. As tough as chickens are, ducks make them look like amateurs in the rotten weather tolerance.
Good luck.