Our winters are comparable, very cold and high wind chill. My favorite story is one time I was driving out to do chores at the barn in the morning and the neon on the Subway sign (should be white and yellow) was red. Looked at a thermometer it was below -40.
Anyways. I blanket my guy, who is clipped, in a 350g blanket with a neck cover and a 300g stable blanket underneath. If it is super super cold I'll chuck another 200g blanket on him. The key to keeping them warm after you've spent all than money on blankets is to keep the furnace on - feed them lots of hay!! We go out an buy really low energy density hay (still good quality ie not dusty or moldy) and put it in front of them in round bales.
They say money doesn't buy happiness -- well happiness doesn't buy horses!