I live in Western New York. We get pretty cold. I do not have any heat source in my coop. The more you protect your birds from the cold, the more susceptible they are to the cold. I do however have one light bulb in there to keep egg production up as much as possible in this dark part of the year.
I stapled the light cord to one of the 2x4's so that it wasn't dangling. Chickens are stupid. If you keep the stuff out of their faces, they wont mess with it.
On a side note, the same power line I have running out to the coop for the light, is used to power a heated waterbowl that we made to keep the water from freezing.