Here we too get -40 degree temperatures with a wind blowing. Our horses are outside, no blankets, 24/7. They all have access to run in sheds for shelter--sometimes they use the sheds, sometimes they don't; this morning one of the colts was lying outside in the snow--his choice & it was doing him no harm.
Like many others here I would not have those lamps turned on, nor would I bother with the blanket unless your mare has been clipped and doesn't have much coat yet. Much as you & I may enjoy a warm barn, it's really not the best thing for horses. The big thing is to have shelter that the horse can go into if it chooses--doesn't have to be a warm shelter, just so long as it isn't drafty.