Nikkibella, just to ask- what do you mean by "heavy sheet". Sheets by definition have no fill, so not sure what you meant.
The horses will feel a temperature drop, but they will use their body hair to regulate their core temp (just like you put on a heavier jacket) and are fine. Horses do well in cold weather. If it changes drastically I feel they need something, and def if they are thin don't make them use any energy for anything aside getting fat!
Sheets will do minimal for warmth, so in this case I wouldn't bother and just get a lightweight, unless you are worried about keeping her dry->warm on a rainy cool, but not cold, day.