Have you ever walked around the corner of a building, and got out of the wind and it immediately felt MUCH warmer? That is what you want for your birds, wind protection.
In the mid west, our prevailing winds come from the North and west. Have your door on the South or east and you will most likely be fine. It is much worse to have them tight and warm, which really means moisture building up on the inside of the coop and on your hens. Damp chickens are cold, dry chickens are warm. They do produce a lot of body heat and will dry out feathers quickly once out of the rain or snow in cold temperatures.
It is more important to think dry, than it is to think warm.
Mrs K