As far as shutting them in the coop goes....
This is my first winter with chickens too, so I've been learning as I go. They seem to be able to take the cold just fine, but like Windy Ridge said, they don't like to go out in fresh snow. If I shovel out the run they will go out and explore, but they don't stay out for long. When it is snowing and blowing out, I just leave the door shut to help keep the heat in and protect them from the elements. To me it's just not worth keeping it open in the cold if they aren't even going out....
When I have to keep them in I give them extra treats and scatter birdseed in their bedding and they go crazy scratching around for it! I'll also let them go on little 'field trips' out of their pen to explore the rest of the shed....they clean up spilled feed/seed and it makes them happy. You can tell they do get grumpy and more irritable towards each other when they don't get to go out as much.
I wish I could let them out more but the snow just ISN'T letting up this winter...
We did have one day where the temps got just above freezing and the snow turned to rain...the snow on the ground was almost gone so the chickens were out...but some of them were soaking wet! That kinda concerned me since they were wet and it was still cold out...so I shut them in early for the night. Of course they acted just fine
, but I don't think I'll be letting them out again in freezing rain.
Just some of my observations so far! Good luck with your birds!