ours roam free, they are very good at finding a sheltered spot if its windy or wet, but sometimes they seem to enjoy the rain, and walk around looking like drowned things!
during the winter i just made sure they always had plenty of food available, lots of straw both on the floor of their shed and on the dropping board. i found that they (and the ponies) really appreciated warm water to drink.
they hardly missed a day laying, looked healthy and happy, scratched around in the snow, no problem!