I don't & won't use heat lamps. Over the years I've just known too many fires that were started by them. Some may be safer than others, but when we have horses in the barn all power to the barn is shut off so there is no risk of electrical fire--electrical panels and heat lamps are the two worst fire hazards I know of.
There was a barn fire in New Hampshire a couple weeks ago--caused by a heat lamp, and it killed a young foal and several mature horses.
And thank you very much, but just because horses stay outside 24/7 in cold weather doesn't make them miserable. Ours are out 24/7 and Monday morning when it was -40 here (no wind thank goodness) I went out about 4 am just to check on one little horse that's on lay up--he's not able to move around much and is blanketed in this weather--and the others were all out & about, outside picking at their hay. They were all bright eyed & curious about what I was doing out there at that hour, but they were not cold and there wasn't one of them that anyone could say looked miserable. They have sheds & all can use them if & when they want--and if there's a wind blowing when it's this cold, they do use them.
While it's true that in this weather I am miserable when I have to be outside for extended periods of time I can assure you that the horses are not at all miserable. Whenever someone asks me how the horses are doing in this cold weather, I tell them the horses handle the cold far better than we do!