Somewhere on here I read that below -30F is when you might need to do something. I believe it was a post by someone from Alaska. If they are free of drafts but the warm humid ammoniated air they put out can get up and out, they will tolerate the cold fine. Things people do to keep them safer: wide roosts, so they can touch their whole foot to their body to prevent frostbitten toes, and Vaseline on large combs/wattles (I believe the more cold tolerant breeds have small ones.) Also, if you provide any heat and lose the heat source, they will be worse off as they will not be acclimatized to the cold.