I have drop down doors on my sheds which hold in heat when the buildings were used for hogs. The doors drop halfway down across a 12' opening. When lambing in the cold, I partition off part of the door with gates and plywood and hang a piece of carpet on the remainder of the door. The carpet will sway and the sheep can enter on either side of the carpet. At night when lambing, I shut all the sheep in to hold any heat in the building if a ewe should lamb and I am not present. I do this anytime of year when lambing. I do not want a young ewe lambing twins with one outside and one inside the building. I plan on lambing in Feb. and Mar. next year and the temps can be nasty.
One year before Christmas I had a pair of lambs and the temps were really bad, I was not expecting any lambs and lo and behold in a lean-to was a pair of twins and their mother. The other ewes actually encircled this new family to protect them from the elements. I was awestruck. I then penned up the mother and did put the new lambs near a heat lamp. After a few days I realized one of the lambs was limping and the hind feet had frozen. She lost her little hooves but did grow until it was time to go to market. That is the worst thing about having sheep, is the trip to the market.