I let mine grow their winter coat, no clipping. They come in and out of the barn as they please, and I see my gelding out more then in. My mare, now that's she in her twenties, likes to put herself to bed in the barn at night, and on occasion when the temps dip below -15 and a wind chill to boot, I do blanket her. Once the windchill ends and temps pick up a bit, usually the next day, two at the most, the blanket comes off.
I do give extra hay on those bitter nights. As far as wet backs and saddles, well, I think all those cowboys out there still ride when it rains.