If your coop is draft free, you shouldn't have to have lamps unless you have someone molting - for some reason, I always seem to have a half naked hen when the cold is at its worst.
There are some breeds that don't do well in the cold, but most will be fine - if you are worried, stick your fingers in their feathers and see what the temp is next to their skin - those down coats work pretty good!
I've heard giving them corn/boss in the late afternoon is good as it gives them some higher fat to digest while the temps drop at night. don't know if this is a myth or not.
hens will tuck their faces in under their wings, but sometimes the tips of the combs get frostbite. to ward this off, grease up the combs with petroleum jelly - a thin layer of grease keeps the skin from freezing.
watch the feet - make sure they are roosting on something that keeps their toes flat - they sit on them keeping them warm. small perches mean toes curled under and exposed to the cold air.
I agree, I think they sleep better without the lights, and it has to be easier on their bodies to get that natural rest from laying which they don't get with 24 hr light.