Quail are hardy birds, but they are still susceptible to the cold without proper shelter and nutrition. Keeping quail warm in winter is easy.
Make sure your quail are getting enough protein. This is key to keeping quail warm. Make sure your game feed has at least 25-27% protein.
Winter is the time to provide your birds with additional bedding. Give them some extra straw and pine shavings. They can make their own bedding and nests in the materials.
We have always had our birds in cages with at least two solid sides for a windbreak.
When you add heat to your coop you run into two risks: fire, and when the power goes out, your birds are going to be shocked without the heat.
You can also bring them into the house, or basement if you will. Without full-day sunlight, you aren't going to get eggs from your quail.