I blanket my ponies in their rain sheets every night and when it's oddly cold through the day, or snowing/freezing rain. They have a giant walk in stall that easily fits the two quite comfortably and is always stacked with loads of good hay. Once it hits about -20 to -25 they get double/triple blanketed with a cooler and stable blanket underneath their rain sheet. Only if something happens where it's going to blizzard out or there's announcements on the radio to keep your pets in and stay inside due to the cold they have giant box stalls to go into to stay warm and safe. Like said though, if the weather's nice that day they get the blankets off in the morning and put on again at supper. They much much much more prefer to be outside, so I do my best to keep it that way with the option if they like or need to they can go in on their own. Seeing as this is Canada and winter can be brutal here, I'm doing my best to keep blankets off as much as possible so when the really cold weather hits later this winter, they'll have built up to it a little more. I've never seen them shivering or cold, and at night when things start to chill down a little more the ponies just gallop around the field a bunch and it heats up under the sheets they have (The rain sheets they have are pretty good wind breakers, so they stay nice and toasty, especially when playing). It works, they're happier than I ever thought I'd see (Between the two Shnook's been in a mix of either being in a standing stall most his life and never having to feel any other element than some sun when very lucky) to outdoor boarding 24/7 which he really did not seem to enjoy at all either as the other horses didn't seem to let him in the shelter every time I went up. He is a bottom of the totem pole horse though so not much you can really do. But he's happy as can be with this set up so for him it works great.
As for Trevor the set up works just as great for him to. He had never been blanketed and lived outside 24/7 so he likes that he can get out of the elements and cold when he wants and loves the fussing of taking the time to put a blanket on him to.
Starting with rain sheets at night was great as they never got cold through the night but they also weren't warm to the point they didn't grow a coat. Woolly mammoth ponies they are. :P But like I said, once it gets to a certain temperature they can get piled with a few more so they won't have to worry all season through. :)