I have a variety of birds: RIR, SLW, Marans, and more. I do notice the birds holding up a leg, to warm it up against it's feathers. And I see them seeking shelter from the winds; and enjoying where the sun shines on the ground. Today at 8 degrees the water freezes quickly and the winds are blowing. TOo cold to be outside without gloves for more than 10 minutes. About -8 with windchill.
My birds are hatchery birds; and they are much smaller than the traditional (heritage) lines which are ENORMOUS birds as I've seen at the Boston Poultry SHow. So I do wonder if these smaller birds might have a little more difficulty with the coldest days. Edited to add: my marans are huge birds and even they are tucking up a leg to cover it. Coop is unheated.
I keep a few bags of dried leaves collected in the fall to toss out on the snow. Borrowed idea from another BYC contributor.