My animals stay warm when it's so absurdly cold with big piles of dry straw inside the barn where they can go to snuggle anytime, and access to as much hay as they want (they eat a lot more when it's this cold).
This particular pile, where they've recently exploded a hay bale, has a layer of composting old hay underneath so it's an extra warm spot to hang out.
It's surprisingly ok outside when you stand in the sun and out of the wind (hence the tall wooden fences).