It probably doesn't get as cold here as some parts of the States, but we had deep snow and temps down to -15°C here last winter. I had a mixed flock of bantams and micro bantams at the time and nobody died of cold. There were enough of them in the coop to snuggle and keep each other warm at night with their collective body heat and they were just fine. My sebright used to cover her toes with her chest feathers on the roost so they stuck out underneath her as if she had feathered feet!
I don't mollycoddle my chickens. They go out in all weathers, hot or cold. This means they develop hardiness and the right feather density for the season.
And yes, some of the bantams do fly! But they don't leave home. They know where they live, where the dogs are, the flock, and where the food is! They just use their abilities to eat the grapes off my vine

. A couple of times I had a young serama or might have been OEGB cockerel venture next door, but that was because something freaked him out. I just went round and got him.
My normal sized bantam Welsummer flies around a bit but never goes over the fence even though she can. I don't clip their wings because I haven't needed to.