I think that wind is more of a problem than just the cold temperatures, so I stapled up clear plastic sheeting on the sides of the coops. Because they were originally chicken tractors, they didn't have solid sides. The floors are still just the wire mesh or fence material, so no heat is being kept in, but I'm hoping the hens will be happier if there is less wind on them at night, and will therefore keep producing eggs at a steady rate over the winter.
I screwed the boards in place over the sheets of plastic to help keep them from being ripped off in high winds.
And this was our first egg of the new year. :)