Mine did this too! On the nights when I knew it was going to be very cold (in the 30's) I would go out after dark and one by one stick them under the mph and they would stay under. But I had to wait until they were in their sleepy daze first or I would get scolded too. About a week later, they gave up the mph all together and have been doing great! They are now 6 & 7 weeks old. They sleep in the coop at night, run around the run all day and are totally off heat. They are very playful and healthy.