Our two (Blue Heeler and cairn Terrorist) sleep inside but have been crate trained if we need to have them outside. The small terrorist likes to sleep on our bed taking up as much room as possible between us (so regularly gets kicked off). He then moves to the dog bed in our room or to the "fluffier" dog bed in the nursery next door or the bed near the fire. The Bluey sleeps in the living room either on the couch or her bed near the widow/fire........notably we have four windows along the front of the house, all have dog beds at them.
The horses all get tucked up in their warm stables at night with nice rugs on but I am sure the gelding would happily sleep in the house if we let him!