Yep, up the hay intake dramatically. The more hay they eat, the warmer their bodies keep.
During the winter months, I have Nelson in a Winter Blanket, the weights change in accordance to the temperature.
Next month, or November *depends on when it starts to get cold and when he grows a proper enough winter lining on his coat*, he'll get a Light Weight put on him. When it start to get even colder, I'll change that into a Medium Weight and then when December and January month hit, he wears a Heavy Weight.
Some horses grow great winter coats, some do not. I don't want to much of a winter coat on Nelson because we remain pretty active over the winter and I don't want to deal with cooling off a horse with too heavy of a winter coat, so I put a Light Weight on him jut at the right time where he has enough, but not too much.
I also have him in a nice large paddock, with a Round Bale infront of him so he can eat to his merry, at any given time.
The more roughage he gets, the warmer his body will remain and the better body condition he will keep. Also his tummy will be full *because he has ulcers* which is very important for a horse like him.
Roughage is very, very, very important.
Here is Nelson in his set up over the winter. He has a couple buddies in there with him, they are in the shelter though...