I've been thinking about this question a lot because this is my first winter with chickens. I live in North Texas, so our winters are not terribly harsh, but we do get occasional short spells of quite cold weather, which in some ways is worse than having sustained cold because the birds don't really have a chance to get gradually acclimated to the cold. Plus, I have Serama hybrids, and Seramas aren't known for being cold hardy.
Anyway, I've been doing a lot of reading and research, here and elsewhere on the internet. Something I read made a real impression on me: the suggestion was that it was critical to make sure your birds go to roost on cold nights with a crop full of food. Makes sense: they need to be able to heat their bodies all night, and they need fuel to do that.
So I've started going out to feed my flock a special treat at around 5 p.m. I make a plate of the cooked grain and vegetable mix I give to our parrots (warmed), then I chop some sunflower seed hearts on top. Other days it's been half a pumpkin with the chopped sunflower seeds. When I have none of these things handy, it's just good old scratch.
I love to see them go to bed with those bulging crops.