Yes, Leghorns are a small breed, about 4 pounds at maturity. This is because they are bred for laying - laying breeds will be smaller, because they will spend less energy on making meat and more on making eggs.
Although they do fine in heat, Leghorns are not very tolerant of cold. Their lack of cold tolerance has nothing to do with feathering - it's because their combs are very large. The Leghorn's bodies will, in fact, stay quite warm, but their large combs are prone to frostbite in cold weather. There are strains of Rose-Combed Leghorn (the comb is smaller), but most are single-combed, so I'm going to assume yours are.
It should also be noted that weather-tolerance depends on the age of the bird. Adults can tolerate cold weather fine, even if those with large combs will be at risk to frostbite, but very young birds do not handle cold, regardless of comb type. Until 6-8 weeks they should not be left in any kind of wintery conditions, basically anything below 50 F.
Sometimes, even in cold weather, the combs will not become frostbitten. Make sure to have adequate ventilation in your coop - studies show that there are significantly fewer cases of frostbite when the air is cold, but not damp. When the cold air becomes damp (usually as a result of inadequate ventilation), the incidence of frostbite went up drastically.
If your hens do show signs of frostbite during the winter, and your coop already has good ventilation, the best choice is to dub. It's a permanent and easy solution. Dubbing is the surgical removal of the comb and wattles; it's done on fighting cocks, some exhibition fowl, and yes, to prevent or treat frostbite in cold climates. It can and should be done at home, provided the matter is researched carefully and the proper tools acquired.
