They like to roost at night, which provides them with protection from predators. While roosting, they will huddle together, thus keeping each other warm.
Turkeys that free-range will naturally exercise, burn a lot of calories, and eat to support their activity level; leaving them better able to withstand winter winds and temperatures.
Smaller pens do not provide turkeys with opportunities to exercise, and so must do a good job of protecting turkeys from the elements. These birds will need more for their coops than free-range turkeys.
Providing your turkeys with proper food that is high in protein will help them maintain their body heat during the cold.