I’ve got guinea pigs so not quite the same. They seem to be happy as Larry over winter. I have a cover that is thinly insulated, but more importantly keeps them out of the wind. I pack their bedrooms with straw, but they just eat it so by the time morning comes around it’s gone. I do insulate over winter with bubble wrap and cardboard though, and cover the mesh front up with transparent polythene sheet to protect from frost. I took pity in them last winter at the height of the beast from the east where temps went well below minus 5, but even then the chances are they would probably have been fine. I’ve contemplated putting a single heated tile like you’d use for electric underfloor heating in a bathroom for when it gets really cold as I have an outdoor plug next to the hutch. With a thermostat it could kick in at temps colder than minus 5 and provide some warmth just to take the edge off the coldest temps.
i’d prefer Not to bring them indoors. They’ve not evolved to live in warm dry areas, homes are too warm for them, and they smell, they’re happy outdoors, but it’s sensible to take some measures in the most harsh winters. I’m not keen on the shed option either. Being cooped up in a hitch in a dark shed can’t be particularly pleasant either. And it’s not as if the shed is anything more than a big hutch so no warmer than their hutch as lin as you keep the wind out. I’d rather safeguard them in their hutch.