Turkeys are some really tough birds, that being said the main thing to remember is as the temps and night get colder and you add in the wind chill factor it really is cold out there. Most of the heritage breed turkeys are as hardy as wild turkeys. The real difference is that wild turkeys know how to find a sheltered place to roost in the coldest of nights. Its not really the cold that gets to them its the wind chill.
I keep them in their own coop (turkeys and chickens should no be kept together because of blackhead, it will kill a turkey). During the windy winter months I enclose the coop with clear plastic sheeting to keep out the winds, and it still gives them the light they need.
Another thing to remember is all birds need a good food to help keep warm, I give mine some red wheat whole that has soaked in water to soften the wheat, then place it in the coop about 2 hours before roosting time, the whole grain takes longer to digest and will help fuel the turkeys overnight. Also any uneaten grain will give them something to do in the morning.
Keeping your birds from getting bored is key to healthy birds.
Just like chickens some loose straw on the floor of the coop with give them something to scratch through and help keep their feet dry (dry feet on turkeys is a must if in a coop all winter).
I hope this helps you out some and remember heritage turkeys are much easier to raise than most people think. They do take care of themselves better than chickens.
Sincerely Jim C.