I grew up a little north of Philadelphia. (Montgomery Co.) I don't know where you are, certainly there are colder parts of eastern PA than where I'm from, but you certainly don't NEED to insulate assuming good coop management.
That said, I generally feel (personal opinion) that if your coop has any reasonable amount of design features that will allow it to hold some of the daytime warmth into the night (even just a largeish coop counts as a design feature in this regard, as does a dirt or slab floor) then it is really useful TO insulate if you possibly can. It makes the chickens' lives, and your management, somewhat easier and more pleasant.
If you are not going to insulate at this point, I would suggest leaving the walls and ceiling 'open' (studs and rafters exposed) so that if you come across some cheap or free materials in the future you are all set to pop them in place without having to deconstruct anything.
Afterthought -- well actually the one time you for sure SHOULD insulate is if you have a metal roof with nothing but 2x4s under the metal (i.e. the metal is exposed on the inside of the coop). PA gets easily cold enough to have condensation (and thus humidity) problems if you leave a metal roof 'naked'.
Good luck, have fun,
Pat