I used to stable my two at night but they never seemed to dry out and one got a skin fungus. They now live out all the time but if its really bad they can go into the stable for shelter during the winter but they are small enough to get shelter from the stone walls round the field
The two at our yard live out all winter, but in the summer go into a starvation pen with a shelter to keep the sun off them (if they choose). I wouldn't have thought shetties needed much shelter in the winter - what with those lovely thick/double, waterproof coats and manes .
The 2 that share my yard came to me during the floods so that they could get some respite from the rain, they stayed in 24/7 for a couple of weeks until we could fence them off a paddock, then they were out during the day but in at night, now they are out 24/7. they are only youngsters though and were rather poor condition when the owners got them just before christmas so they needed extra TLC.
Mine came here as a companion to my older horse so he has to do what ever he does as old neddie does not stable on his own. So out during the day and in at night and opposite during the summer. He would live out but I have to say he does love his stable! They are very hardy but some shelter is advisable. He doesn't wear a rug.