First, know that frostbite is NOT caused by cold temperatures. Instead, it is moisture in the cold air that does the damage. The moistness comes from the hens pooping and breathing in their coop at night. Therefore, it is very important to keep the coop well ventilated. Having a vent at the top of the coop, as well as some kind of vent near the bottom, will keep the moisture to a minimum. (The Smart Chicken Coop is set up for this.)
Ventilation is different than wind. As long as the hen’s feathers don’t get ruffled, thereby releasing all the warmth trapped in their feathers, the chickens do just fine.