Check with a thermometer, you might be surprised at the temp inside the pen. My chicken coop is uninsulated metal on concrete. It was 38 degrees this a.m. when I went out to let them out (balmy by your standards but cold to us) and the inside temp, with no heat other that the chickens, was 52. And, that is with two very large ventalation windows that are open all the time. So, it might not take a lot to keep it warm inside the little pen. The shed itself does not have to be heated. You might also try insulating the exterior of the pen itself. You could just lay insulation against it, maybe attach it with staples if needed. that will help hold heat inside as well. Just make sure that whatever you us is fire proof.
I checked with a local feed store and they have only the large round bales of hay. But, when loading and unloading it a lot of it falls off to the ground and they said I could have it all if I pick it up and bag it for free. So, sometime all you have to do is ask I guess.
