The biggest concern you'll have with chickens is frostbite on toes and combs. To combat frostbite on toes, make sure that their perches are at least 2" wide or so, so that they can sit on them and cover their toes. To combat frostbite on combs, and you'll only need to worry about this on large combed breeds, smear them with petroleum jelly.
As long as the birds are out of the wind, they'll be OK. I hang a single heat light in my 10X16' coop when the temperatures are below zero Fahrenheit, and this is to help keep the waterer and eggs from freezing. I have some single-combed breeds, and didn't get any frostbite this past winter. Mine get their door opened every day. They don't go out every day, though--they hate the snow!
Most chickens are hardy creatures. Some, like Silkies, do take a bit more coddling. In my experience, most animals are more harmed by a completely air-tight structure and a heat lamp than by a bit of cold air. The biggest thing that will harm your birds is a build-up of ammonia from wet bedding in a very air-tight space.