Mine are free range in the conservatory. This has a thermostat controlled heater, next to their bedroom section. Here is a picture of them in the afternoon, with snow on the ground outside, all lined up and snuggly. The heater is opposite the camera, so they are in the corner nearest to the heat!
I get a little closer and they start to wake up...
The littlest one, Chamomile, was inside the log thing. Here she is...
Normally, at night time, I would find the top piggie which is Carmina the brown one inside the log. Perhaps she has decided the littlest should go in there - then she would make sure that happened once she decided it!
But, basically, they just have the usual 'all weather' set up and the heater keeps them cosy. There is always 'stuff' on top of the sleeping area anyhow which helps to prevent draughts.