I would do what KK has beaten me to, but more of an enclosed shed - with ventilation of some sort - and like KK my thought of them keeping each other warm as they would be together and not roaming in the open. I never thought of the hay bales though. Don't know how long this weather lasts for, but they are truly valuable animals. They would need a bit of space to exercise, but if this is normal weather pattern, would be worth the cost even and some sort of insulation. Well if it were me living there I would to save them and make life more livable for them. But I could never survive those temps either.
