Some folks just let their birds weather it out when it is cold, but as I have less space for the girls to hide out in, I figure I have more obligation to make sure their small spaces are comfortable.
I go by what the great speckledhen wrote years ago in one of her posts - - she said she did not let her birds out unless it was at least 20 F. That's what I do here, but in winter when there are many days in a row of really nasty temps it can be a real drag for the birds. So . . . I started wrapping my small pens in 6 mil plastic sheeting in winter. I use a power stapler with small squares of cardboard where the staples are so the plastic does not tear. I usually leave the north and west sides covered top to bottom, and leave generous top venting on the south and east sides. This does a great job of keeping the wind issue down and letting the birds get some exercise.
If they do stay in the coop, they of course must have plenty of food and water. I would also leave a small "stickup" light or flashlight in the coop on the very few occasions I have done this. Gets messy very quickly, though, LOL!
Here's a shot of my oldest pen, next to my patio. I scrounged an old window from a contractor and just screwed it to the pen. It's on the north side, so my older hens can enjoy the view without the winter wind! (They also have a hanging barn-style brooder lamp in there when it's below 20.)
I open the pen doors every day, weather permitting, to let the birds roam the larger fenced yard. Funny, yesterday no one wanted to go out . . . even my tough little roos!