I use our old barn for a winter coop. It is not insulted and no heat source. But it has plenty of ventilation, and the birds can find nice draft free places to roost. That is really key, your birds can handle the cold as long as they are dry, the coop has low humidity, and can stay out of the wind. I personally would not insulate your coop, just make sure your humidity is low and they are out of the wind.
I'll second that. No insulation, just make sure you have proper ventilation to keep the humidity down. We have no heat and no insulation and even down to -8 outside temp they have been just fine the past two winters.
Enjoy your coop build and post pics!