I live in Vermont and the temperatures can be really frigid- have of late, as a matter of fact. Millet is a nice warming food that can be added to their normal rations and this helps the birds stay warm all day as well as during the night. A rendered suet or bacon drippings on granola are another solution. Its important that the birds don't tax their systems too much during the winter because the energy expenditure of producing clutches of eggs is the next phase in the cycle. Mortalities and illness will appear more often in birds that were stressed over the winter than those that were not.
Murray McMurray has a great product called Babycakes in their online feed section of the catalog. Heat one of those bars of ameliorated suet up in the microwave and put about a table spoon per bird over the dry feed on the evening before you know it is going to drop below zero. The special vitamins and crustacean meal in the product actually help prepare the birds for the next season while the cranberry pulp/seeds and turmeric act as antioxidants, helping the birds regenerate their digestive systems while they sit out the cold. Zeolite and De in the babycake are used to remove odors from the droppings and as natural anti parasitic agents.
Wrapping their perches with a few layers of bubble wrap is good way to increase the insulation of their feet.