I started with woods shavings for litter because I had not heard of sand. I am planning to replace it in September with sand.
I'm in VT and chickens do all right here in the winter without much extra work (my inlaws have had birds for the last 5 years; we only got ours this year). Their bodies stay warm for the most part. It is the feet and combs that can get frostbitten on the coldest of days. Their bodies are covered in feathers and they know how to fluff air into those feathers to create a warm shield.
I have no plans to close any of my windows for any long periods of time. Good air flow and avoiding respiratory issues are high priorities in my mind. Probably at night, but certainly during the day the coop will need airing out so the windows will remain open. I have camp style windows so the hinge at the top keeps damp/rain/snow out of the coop. We are in fact about to add two more windows on the western wall of the coop to purposefully pull in air flow. Considering how warm our winters have been as of late (we haven't had any zero degree or lower days in a good 4 winters which is just amazing), and armed with an emergency plan, I can't see doing much extra.
So I don't think I'll be adding anything to the sand. The wood shavings I have now are a bit musty and still I don't add any pdz or DE. The coop doesn't really need it. If it gets really dank in there, I rake the shavings and mix things up. I have about 6" of shavings in a 240 sqft coop with 24-25 birds (PBRs and Golden Comets) since the first week of May, and I have not had to clean out anything yet at this point. Maybe the windows really help. Maybe because it is such a large coop that helps, but I figure if I haven't needed anything special with shavings and sand is supposed to be better as dessication, then I'll likely not need anything in addition to the sand. The nesting boxes have shavings in them and that will probably remain that way, but I have no plans to otherwise add any more shavings on top of the sand.
I do have two heat lamps in there that are were used for the brooder when these chickies were babies so if we got a short spell of really cold weather, I would turn those on, but the birds like to roost in the rafters of the coop (or the top rung of the roost itself) and it has got be (and continue to be) decently warm up there. They don't really hang out on the floor.
The floor of the coop is a 4" concrete pad and sits above the grade. So far we have not had water issues with the shavings and June was pretty wet so hopefully that bodes well for the sand. Good luck to you jdoane. I hope we both have good things to report after this winter.