so long as the cage is dry and bedding dry they will be fine, cold is not a problem just wack more hay in but the wet damp bedding can be leading to all sorts of problems.
pigs kept in a shed will not need covering as it really is not cold, and you do not want to have it so they get condensation on the windows,
IF you see condensation on the windows then your ventilation is no good and you need to act asap to get that air flow sorted or else problems will arise,
there should be a window or door open 24/7 for ventilation.