When I lived in TN we used to have warm blankets on in the barn if it got to around 65-70. It is more the climit that your horses are accustomed too that is the point on wether or not they will be cold - they live in FL, someone who trudges through the snow may not understand how you may think that 65 is cold but I would have the warm blankets on him for sure.
I would likely not leave the lights on ALL night though because it will confuse their body clock and defeat the purpose of having them on in the first place. Set them on an 18hour timer
and try putting heat lamps in the corner of the box for when it gets below about 55.
And you could always try a good old fashioned method that has proven over time to be the ONLY reliable way of keeping a nice coat - BRUSH HIM EVERY DAY