Chickens really don't do well with not being able to get out of wind, especially if it is also cold and damp.
It would be better not to force them to sleep in nestboxes (meant for laying eggs in), as that tends to lead to pooey eggs, plus which a nestbox is usually not very large or congenial for long-term occupancy. I would suggest maybe getting some scrap plywood and knocking together some sort of roost-box type shelter, in the most-sheltered part of the pen, that contains the roost (obviously
) and a roof and maybe 3 1/2 sides with a bit of ventilation high on its walls too.
With this, chances are you won't *have* to supplement heat unless you have unusually unsuitable birds (e.g. very huge single combs). If you think there is ANY CHANCE you might ever want to run a lamp, though, make your roost box (or whatever you want to call it) AMPLY LARGE, really like a small coop, so there is plenty of room to mount a lightbulb and have it still be safely far from all wooden surfaces, bedding, and chickens. You would be surprised how easy it is for chickens to burn their combs on a bare bulb, or to bump and break it.
As far as supplementing light, I assume you mean for laying (to minimize midwinter drop in egg production). Honestly it is almost a bit too late for that - if you were going to do it, I would suggest starting NOW, and giving them maybe 15 hrs of daylight (total) per day, and keeping it that way til next spring. Many, many people do not do this however, either on the theory that it is probably better for the birds or because it is just not worth the aggravation/risk/etc. Also, note that first-year pullets are less apt to experience a drop in winter egglaying than older birds are, especially in production lines/breeds (as opposed to more ornamental types).
Personally, if I were in your shoes, I would not mess with lighting this year, and let the chips fall where they may. Then next year when you have more of the OTHER kinks worked out of the system you can contemplate whether you want to do supplemental lighting or not.
Good luck, have fun,
Pat