In cold weather, increase hay, not grains. Yes, your horse needs more energy to keep warm, but the increased carbohydrates found in grain can lead to stomach upset. Additionally, hay is a more efficient "heat source" for your horse. Your horse digests hay with the help of microbes found in the cecum and colon. These organisms give off lots of body-warming metabolic heat.
There are some very complex calculations available to determine how much additional hay your horse may need, but this suggestion from Elizabeth Goldsmith at EquineInk.com simplifies the matter beautifully:
A good rule of thumb: for every 10 degrees F below freezing (including wind chill temperature), feed 10% more hay than usual. But better yet, offer grass hay free-choice. His digestive system requires a steady supply of forage and the best way to do this (and the most convenient for you) is to keep hay available at all times, day and night.