My sheds are insulated, the doors are locked at night, and when the weather is below zero I have tubular heaters to keep off the frost.
They also have bed areas packed with hay that they all snuggle in.
It was -5 here last night (and still at 8am), but the rabbits in the sheds had warm ears and no frozen bowls.
I only use the heaters when its below zero outside, or for when they're poorly and don't need to be fighting the cold as well as an illness.