I'm in West Michigan. The thing I've read over and over is that the coop needs adequate ventilation to get rid of the humidity and rising vapors the chickens give off. Drafts are bad, so the vents need to be high in the coop walls, over the roosts. The chickens give off a lot of heat if they get enough food and water. You can add a light bulb suspended from the shed ceiling, on a timer. They need 14+ hours light to keep laying.
My coop has a layer of blueboard insulation sandwiched between wood siding. Floors, ceiling and walls all have blueboard. You can't have foamboard insulation exposed because chickens will peck and eat it. Probably will just pass through them, but you don't want drafty holes for the cold air and mice to get in. Remember to insulate the roof. Leaving a few gaps between the tops of the shed sides and the roofline should give good ventilation, especially if you cover the holes with metal mesh screening.
Are you using the deep litter method for the floor? That will help keep the coop warm too. I don't have enough room in my coop to do that. My coop's on stilts, and I'm going to stuff leaf-filled plastic bags underneath to eliminate airflow.
The other thing I'm going to do is install vinyl strips in the door, overlapping the strips 1". This will help keep in the heat. I'm going to put in one strip a day for a week to get the girls used to pushing past the clear plastic strips. I've also seen people take a dog door and cut the plastic flap in strips, but my opening's too big for that.
The people who built my coop had one just like it and left the pop door open all day long, no matter what the weather was like. Her 20' run was fenced in with 8' high chain link panels to keep her neighbor's pitbull from coming over and having a chicken dinner. She had 8 chickens and they looked a bit muddy, but did just fine in the snow and ice.
