I think those big temperature swings are harder on them than sustained low temps. I don't think we've had daytime highs much higher than 20-25*F in many weeks (and plenty of days with highs in the teens), but they're pretty well adjusted. I just keep a really close eye on coop humidity and try to keep the water unfrozen!
Last year they were much more willing to go out in the snow, this year I find that they tend to prefer staying huddled up in the coop during the day. When it finally stops snowing, I'm sure they'll come out to scratch around in the straw they have all around their run- that seems to provide them with lots of entertainment. But it's been snowing steadily here since Saturday.
The one thing I worry about is them getting enough dustbathing time. They have a covered area with dirt that I've managed to keep unfrozen, but the ground is pretty cold and they are not all that willing to go out and use the dustbath area. They are all looking a bit raggedy, to be honest, but I figure they know what they need.