I would push you to put them in a shelter, but I know you're dead-set on keeping them in your yard, so here goes:
Often cats, especially groups of them, are able to keep warm and happy outdoors without much help.
A small dog house (plastic works fine) is a great thing to use, and you can put blankets or towels in the bottom. Face the door towards a wall of the house, and about 1 foot away from it.
You can put a styrofoam square, some wood, or something under the dog house so it isn't directly on the ground.
Being close to the house will help keep snow out and away from the entrance.
A plastic or wooden box would work just fine the same way if you're strapped for cash.