If you decide to give them a heat lamp, make absolutely certain nothing (including unauthorized animals) can possibly access it, or even if by some fluke did reach it, could not possibly pull it down. It would need to be very close to, but not in the cage to do any good. I would use a black ceramic reptile bulb if I were to go this route. But I think there are better ways, should it get truly desperately cold.
If you feel they need heat, cover a heating pad with a protective, wipe-clean material and place it under their bedding. You’ll need one that doesn’t automatically turn off. You might have to remove the controller and wire the cord back together without it if you can’t find one that can be made to stay on continuously. You can use seed germination warming mats as well. They don’t heat up much, but it might be just enough.
I don’t know whether coturnix quail need extra heat in extreme cold conditions. There was some discussion on this topic in the quail hatch-along thread a while back. Most of the folks there (but not all) are in Texas, but there’s a lot of great info there and very knowledgeable people.
If you keep your cots in a dry, well-ventilated, draft-free shed, I suspect they will survive most cold temperatures, provided they’re acclimated. I live in zone 4. I don’t think I’d keep quail in winter without a shed, but I may be wrong about that. People 2-300 miles to the south do keep them in fully-enclosable rabbit hutch-type shelters. I don’t think I would do that here. Like I said, I could certainly be wrong.
I’m only exploring quail, but from all that I’ve read, it would appear that they’re tough, though not as tough as chickens. I do feel confident that in the cold especially, you’ll need to feed a high-quality game bird crumble. I believe the recommendations call for 29-30% protein.
