several people have said is that they feed more grain during a cold snap to help keep the goats warm, when, from what I understand, it is more roughage that will help them keep warm.
It depends on how cold your weather is. Ruminants can take in hay and keep themselves warm by increasing the amount of hay fermenting (cow dairies in colder areas like bigger cows, btw -- wonder if it is the same for goats?). On the other hand, corn gives quick energy -- a little corn doesn't do any harm in really cold weather.
I'm in upstate NY near the Great Lakes, and we can have warm winters with sudden drops in temperature and 9 feet of snow in one day. The snow is actually insulating -- but the 50 mph winds and corresponding windchill can be a problem. People in bitter cold areas seem to stockpile and use a lot more hay -- the bales also make great windbreaks until they are eaten.
I noticed that friends in the South do not feed as much hay as we do around here.