A three-sided shed with good bedding makes a great llama shelter. Most llamas don't like to be closed inside a barn; they like to be able to have an escape route. Some llamas, especially males, won't use a shed at all, except maybe in extreme weather. Straw makes very warm bedding, but the llamas, ungrateful kids that they are, will poop in their cozy shed, and straw is harder to clean than shavings. Heated water buckets are great, and don't use much electricity.
Feeding extra hay during cold weather helps llamas generate heat through digestive activity. It's tempting to want to feed grain or pellets to help them keep warm, but the less you feed a llama out of a bag, the better. Good hay and a mineral supplement tailored to your area is the best feeding plan, in our experience. (unless your llama is old, very young, nursing, or has other reasons for supplementing feed.)