Mine just roost. I'm in northern Wyoming and we had frost on the windows and snow on the mountains this morning, so it's coming. <sigh> I don't want mine sleeping in the nest boxes ever - makes for dirty eggs! My coop isn't heated or insulated, I have a lot of ventilation in there, and they do just fine. My run is mostly covered in winter with a clear greenhouse type tarp which keeps them dry, and their pop door into the run is open 24/7. So even on the coldest days, they are out there more than in the coop. When they are in the coop, it's to lay and roost. For most chickens instinct tells them to sleep up high, out of the reach of ground predators, so let them just follow their instincts and they should be fine.
You could try a dog igloo, but they aren't likely to use it. Good luck!