From my very limited experience with a very small number of pigs in north Cumbria, I would say do have somewhere you can bring them in to, even if you want to keep them outside. I had a most miserable winter one year, with nowhere I could bring them in and them all utterly miserable, getting rained on whenever they ventured out of the ark, plodging in thick cold claggy mud day in day out for months. I swore never again, and we have a spot assigned for them should they need it, now.
Of course, our winters have been less extreme ever since, and I never have had to bring them in. But the one time I did have some indoors, we gave them a large round hay bale and some straw, and they made a burrow in the hay and were totally blissfully happy. They loved seeing people when we came into the shed, too.