Dixie has access to inside, but even when wet/sleet/snow, you generally find her outside. If I know really windy & wet weather is coming, I will put a rain proof SHEET on her - no blanket, just the lightest water proofing I can find. I think once you get into the "serious blanketing" plan, you have to stay with it because you may compromise their own natural warming capabilities. Plus you mash the hair down and "lofting" is what nature gives them to protect themselves quite efficiently.
Generally, there is some evidence on wet/cold nights that she does spend a period inside because she digs a hole in her stall and lies down, but when I leave at night and arrive in the AM, she's out and happy. I put hay under her favorite "shade tree" and inside, water both places as she rarely drinks from her stall buckets.
Sheet comes off in the morning unless temps are staying below freezing or lots of precipitation expected. Generally they can find a spot in the sun and get pretty warm during the day.