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I've read that you're not supposed to put in a heat lamp because if it goes out for some reason (power outage, bulb out, etc.), the chickens will die. It is better to let them acclimate to the cold. They can handle cold as long as there is no draft. Also, some breeds are more cold-hardy than others (larger combs are less cold-tolerant). From different threads/blogs that I've seen so far, chickens don't love walking around in the snow, so if they don't like it, they'll just stay inside.
I say "I've read ..." because this will be my first winter with chickens, too. But that is what I'm planning to do based on what I've read and based on what my friends do who already have chickens.
Oh, and of course they need water (not ice!) so you need to accommodate for that as well.