No. Keep them in a well-ventilated, draft-free coop and they'll be just fine. My chickens live in an 8x8 area with vented soffits and windows that tip in at the tops for ventilation, when I get around to putting them in. I also leave the pop door open most of the winter. I will close door and windows when it gets in the teens below zero. More importantly, they need to be kept dry which is why you want the ventilation. Too much humidity in the coop causes frostbite and respiratory problems. They can actually get frostbite at relatively warm temperatures if the coop is too humid. The humidity buildup is caused by their breathing and pooping.
Your chickens will acclimate to the cold weather if you let them be. The colder it gets, the more fluffy down they will grow - basically growing their own little down coats. The warmth gets trapped in their feathers and keeps them comfortable. Consistent temperatures are better for them - cold inside and out. That's because they can't take their down coats off when they come in from outside. Think about this - when you go outside in the winter, you can put on your winter gear. Coat, ski pants, boots, hat, mittens, scarf. You go outside with all that on, and for the most part you can be comfortable. But what about when you go back in? Try leaving it all on for a couple of hours in your heated home. Or, you can heat their coop, get them dependent on that heat lamp so they don't grow their extra feathers, and your electricity goes out in a storm. Your chickens will not be equipped to handle that sudden cold. All this and then there is also the chance of your heat lamp causing a coop fire. It happens.
