It's difficult to get a nuc through the winter. If you want to try, I would leave them in the five frame box. Feed them all winter. If you can find a way to mitiage the really cold spells it would probably be helpful. Perhaps a 25 watt appliance bulb underneath?
Being in missouri my experience might not be applicable to the colder regions, but last year I got (probably dumb luck) a nuc sized cluster and stores through the winter in a 1 deep. I didn't have a Nuc to put them in nor did I know at the time that giving them less room was better. What I did do was take a clean spray bottle and filled it up with 1:1 or even a little stronger sugar water (at times I did as thick as would spray) and occassionally on a warm day in the winter I would fill up some comb by spraying the feed into the comb. The sugar/newspaper method is probably easier, but this other way worked for me. I'm doing some of this now to help strengthen some nucs before winter now. when winter hits I'll probably go ahead and put a piece of newspaper above the bars and put some sugar on there.
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