It seems your question has been answered by many more knowledgeable than me, but I thought I'd add our protocol for what it's worth. We have six silver Appleyard ducks on the coast of Maine. Their run is predator-proofed and covered, and they have 24/7 access to it unless it's approaching -5 to -10F. When it gets that cold, we lock them in the duckhouse after dinner with no food or water until morning. Our duckhouse is elevated (~4x8') and has a deep bed of shavings and straw. We are quite generous with the straw, especially when we're approaching single digits. As you can see in the picture, we wrap three sides of our run in plastic to protect from wind.
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Our guys like to be out and swimming if it's in the 20sF and up, but otherwise they come out, have their soup, slide around a bit and head back into their run. When I check the camera during the day, they are often snuggled in to the duckhouse dozing when it's cold.
Here's the build thread for our duckhouse: 
