I have polycarbonate panels/shower curtains on my prevailing wind side (west) all the way up. I cover the north side (second most prevailing wind) about 4 feet up. The south side (third most) has the chicken coop, and I cover the leftover corners up about 2-3 feet.
The east side (least wind) is in the lee of our garage, and I cover the bottom 18" inches, just over chicken height. Some wind still blows in, some snow blows in, but the chickens can stay out of the worst of it. We're on top of a ridge, so there is often wind.
I cover the openings in the coop with air filter material. There's still air exchange, but the gusts are tamed.
The pop door and people door are to the north side of the coop, south end of the run. I leave both open all day, close them at night. When the temps get down to the mid-teens (F) during the day, I close the people door. When they get down to single digits, the chickens don't come out, and I close the pop door too.
I have feed in the coop and run (removed every night), but water only in the run, in a heated dog bowl. No water in the coop means less evaporation and humidity, and no possibility of spills making wet bedding. When it's in the single digits and I close up the coop, I give them a dish of snow to nosh on instead of liquid water.
This has worked very well for me for 5 Michigan winters.