Mine appreciate some hay scattered on the ground to walk and stand on, as well as to forage through. If you have access to some I recommend getting a few bales. Make sure it's hay and not straw.
My large shed always has an open east facing door, so mine are never sealed up. Your chickens will want to be outside as much as possible during the winter, so provide a wind break as mentioned, sunshine, like in south facing Windows or a cosy corner with no wind.
Why not straw?