Mine are on pasture with access to a loafing shed. They rarely go in, unless escaping bugs. Wintertime it is very cold here- in January and February it gets as cold as -40 for weeks at a time. Last year we had winchills of -100 below F and the horses didn't bother going in the shed.
A good friend of mine suggested blanketing the horses to save on hay. She said that the more they eat to keep warm the more feed you waste- and that they will eat 1/3 less hay if they are blanketed against the cold.
What do you think? I have blankets for some of the horses, I use them if someone comes in emaciated during the winter. I am all for saving money on hay- last year I spent over 6K on hay for my horses, goats and sheep.