First of all, ducks wear down jackets!!! As long as they are healthy, well fed, have thawed water and are able to get out of the wind and precipitation at will, they should be fine.
Straw is a way better insulator than hay. Straw is hollow and traps air, which insulates. Hay just gets wet and matted as you found out. Heat lamps are dangerous. Period. Especially with hay. Plus with almost adult ducks, putting the lamp in will do more harm than good. They will go from warm to cold and back and not acclimate to the winter temps.
Swimming in winter is fine. I use a bird bath heater to keep water unfrozen in their pool and a heated dog bowl for drinking/face washing water. I suggest that you feed some cracked or whole corn along with regular pellet food. I also like to supplement with some chopped veggies since they cannot free range and eat natural foods in winter. The corn will help keep them in good weight and help supply internal warmth.
Keeping ducks clean is nearly impossible. I would just make sure you muck out their area daily. Remove wet and soiled bedding, replace with clean and dry. It helps to put something down under water dish. We use a heated dish, in a larger flat feed pan, set upon the top from a rubbermaid container. The top is much larger than the dishes and catches a lot of water they dribble. Also, if they get in the water dishes, place a narrow board with maybe a large rock or brick on it so they can drink and wash face but not swim in it and splash water around and soak their area.
