Chickens are pretty tough and don’t need a lot of heat, especially if your coop is insulated. We run a heated water dish, chicken heating pad, and an incandescent light for 14 hours a day in winter. They are dumb though, and don’t have enough sense to go warm up when it’s really cold out. If it’s going to be really nasty we’ll lock them up all day, but only when it’s really really cold, like never out of single digits type of cold. Otherwise, the coop is always open to the run. Our birds do get a little beat up in winter and some will end up losing parts of their combs or toes, but they don’t seem to mind. They keep laying.
Keeping them cooped for long periods brings its own issues. They get sickly from stewing in their waste unless you’re really on top of cleaning and have really good ventilation. They will also beat the hell out of each other out of boredom, and will even go so far as killing the weaker birds. They are nasty creatures.
Finally, if you run a heat lamp you have to be super careful it won’t start a fire. Make sure it’s up high and in a secure fixture, and check it daily for dust and straw. Chickens get rambunctious in the coop and can easily knock/move things around. I personally wouldn’t put anything in there that gets hot enough to start a fire.
Oddly, we also keep quail in an outside pen. We do very little to protect them other than a thick layer of straw and they do just fine.