Search the web for "open air coops". You'll find the reasoning behind not insulating. I'm using an open air coop this year. Of course, we don't have extreme cold temps, but we do have some nights in the single digits. I feel bad for them when the wind is howling with icy teeth, so I put temporary plastic panels over some of the openings. This may be totally unnecessary since all kinds of other birds survive just fine roosting in leafless trees.