I prefer to have as much control over the process as possible, so I keep most of my trees in shelters that are heated with a thermostatically controlled space heater. I try to maintain a temperature no lower than 27 F for most species. Trees are in the barn or garage, up on tables and enclosed to protect them from harsh winds, mice, etc. I have heard too many horror stories about trees destroyed by mice and voles during the winter to risk leaving them outside, in mulch, etc. Plus snowfall is erratic and isn't always available to provide that additional insulation. Maybe if you live in the right area there isn't much risk leaving them outside but if I did that here, I don't think I'd have anything left come spring.
Some trees get less protection (ponderosa pine, spruce, cedar, larch) but even those are in the garage where temps rarely go below 20 F.