Hi Curly- they are lovely little creatures aren't they. It is amazing how quickly they take over fit in 
Are your girls babies/young pigs?
My boars are in tonight (they've been out in their Pighouse with a heater and hot water bottles)
The last couple of nights have been below 0c. I put two hot water bottles (wrapped) in for them at 5.30 and by 10pm when I went to turn up the oil-filled radiator, the bottles were cold
.
Their SnugglePad keeps the heat a bit longer but isn't as warm.
Last year I gave them Catsan+Newspaper+hay.
But the hay smells (like a barn as you say).
Tonight they are unstairs in the boxroom, away from the radiator. I gave them newspaper + a fleece blanket + 2 boxes with shredded paper. They've got a bowl of veg and hay cookies (solid hay discs)
They'll go out tommorrow wth their heater in the Pighouse (mine get very irate in small spaces). At the moment I've thrown a duvet over the cage to keep them quiet and hopefully keep their pong in .
Fleece is a nightmare to get hay off.I got a BuddyBrush from Lakeland that is brilliant to remove bits.
I do daily bedding change (though if they are in/out I might get 2 or even 3 days from their deep bed in the Pighouse if I drag it to the side and take out any pee/poo spots.
Enjoy your girlpigs.
I tried 1001 things last winter , still trying new things.
(I'll check the boars in a minute- hopefully they'll be asleep)