I never insulate or heat my coops and I open their windows in the daytime in winter if it is not too breezy. The worst thing for them in the winter is a draft since it gets under their feathers and doesn't let them stay warm. I had a single rooster in my bachelor pad over winter. I hated to do it since they use each other for heat, but I didn't have anyone else to put in there with him. It is just a small tractor coop that I use for breeding trios in the summer. He did just fine in there, in fact, when spring rolled around he was in better condition than my main coop which had several cases of frostbite. The tractor is much better ventilated than my coop since it has an open door all the time, but the position of the door prevents drafts. The key is high ventilation, but no drafts. Tricky. It depends on door, window, and vent placement, along with not having "cracks" in your structure. You cannot shut them up tight in the winter, it is the inclination, but it will do more harm than good.
Frostbite most often occurs when the birds are exposed to humidity coupled with freezing temperatures. I am currently working on my main coop to add more ventilation for the winter since last year they were fogging up the window. That means the humidity is too high in there secondary to not enough ventilation. So, I am adding vents up near the roof that can be closed when needed. This will be better for summer as well since it will allow for better air circulation.
The size of your coop and the number of chickens in it matters as well since the birds themselves generate quite a lot of heat. If you have a big coop and only a few birds it will be colder. If it is too crowded it will be humid and full of ammonia.
The Vaseline trick works well if you get it on them in advance of the really cold nights. It works by preventing the humidity from gathering on the skin and freezing there resulting in frostbite.
While chickens are decendents of jungle fowl and so are originally a warm weather bird, they have been bred to survive in all sorts of conditions. In the end, remember that they are running around with very effective down coats on and they generate a lot of body heat.
