I would not put up a heat lamp, nor would I put a coat on him. Winter hit unusually early this year and, assuming his temp is normal and he is eating good, he just has not had the opportunity to grow an adequate winter coat. Both heat lamps and coats will interfere with that and leave him in a bad place when winter really arrives. Lay in an extra deep layer of bedding, give him a little more feed, keep an eye on him, bear in mind that shivering is a natural response to cold, and let nature take its course. I know it sounds harsh, but it is better for him in the long run. I've had a few does shivering, too, but they now have better winter coats and are ok.
