I'd think it would be a good idea to move her inside to a warmer spot if possible, but it may be a bit tricky to do so without breaking her up. I have a bantie (half silkie) setting right now. She started setting out in the pen but I moved her into one of our potato bins in the basement- in a nice wooden bin, in a small enclosed room. (no potatos LOL).
First I moved her and her eggs into a little wooden box in the same spot where she had been setting - left her for a day or so, then carried her, eggs and box all into the basement after dark one night. I didn't touch her, just picked up the little box and carried it. She growled a little when I reached down to pick up the box but never stirred after that and is setting as good as ever after the move.