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Hi I'm also from Tn. I would cover the windows that take the brunt of the wind. I usually cover the big front window in my coop because it faces kinda northwest and most of the winter wind comes in from that direction. As for the run, I don't cover it but I do lean a piece of plywood up against the northwest side to act as a wind block. I also keep extra deep shavings in the coop in winter. I don't heat the coop and so far I've had no problems. I actually will be winterizing my coop and run today. I just checked the weather and winter has snuck up on me!
https://www.backyardchickens.com/t/935878/heating-our-coop
You might read this thread, not just my post but the others too.
Personally, I'd cover the windows that allow a wind to blow on them but leave the rest open. When I grew up in the Cumberland Gap area I saw chickens sleeping in trees in a protected valley when the temperatures were below zero Fahrenheit. 20 degrees is quite comfortable to chickens as long as a wind is not hitting them.