drafts/winds are the biggest danger, so make sure their hutch is sealed up enough to protect them from that. also, if you can buy a bale of straw (it's SUPER cheap), it's a bit better at insulating than the hay.
here's a great outdoor set-up that someone has posted on youtube:
[ame]http://www.youtube.com/watch?v=eXKe5tuw47A&list=UUd6pSPaouhX84B33rdAP_LA&index=7&feature=plcp&noredirect=1[/ame]