If the horses stay dry, they will tend to stay warmer. Think of a human falling through the ice into cold water – – loss of body heat will kill faster than drowning. When you mention sheets, I am assuming you are referring to waterproof T/O sheets? You might also consider adding neck covers if the horses are living out 24/7. Midweight T/O’s work well in most climates, and if the temperatures drop, a blanket liner can turn a mid-weight T/O into the equivalent of a heavy weight. I personally don’t like the nylon blanket liners – – they tend to slid to one side or the other and My fabric of choice for liners is polar fleece, and if it gets really cold in winter, a double-layered polar fleece liner. Polar fleece has the ability to wick water, so the blanket liner can also be used as a cooler when it is not needed as a blanket liner. Just make sure the horse is dry before putting on a polar fleece liner. If used as a cooler, just hang it to dry, and it will be ready to go again. Polar fleece can be run through a washer and tossed in the dryer to dry, another advantage. I also don’t like using one set of leg straps for both the liner and the T/O. Doing so pretty much guarantees that if one slips to the side, it will take the other with it. It can be helpful to use black leg straps for either the liner or the T/O, and colored leg straps for the other blanket. Very few barns have great lighting, so make sure the colored set is. clearly recognizable in poor lighting by using a lighter color such as gray or tan for the second set. This way, you will know which layer of blankets you are detaching.
If you sew at all, polar fleece blanket liners are easy to make, just use a sheet pattern.