They don't need supplemental heat. But they DO NEED VENTILATION to remove moist stale air. How much and where is it in your setup?
I keep food and water in my run. I use a heated base waterer and it works all the way down to sub-zero temps. Keeping thawed water inside the coop during frigid temps is a recipe for frostbite.
If you haven't done so already, I would cover the walls of the run with clear plastic tarps or shower curtains leaving the top 6" or so open for ventilation so their run is protected for brutal cold winds.
Make sure you have lots of fluffy dry bedding for them to hunker down in when they want to hang out in the coop.
My coop is not insulated, single walled with copious ventilation and my flock has done just fine with temps down to -23F.
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