In hotter regions of the country, three-sided shelters are usually all that is needed for most cases. This can be used as shade from the sun and shelter from winter winds. Where it is very hot, a better arrangement for summer shade is a roofed structure with no sides. Some people put pea gravel down under groves of trees to make the ground even cooler. In cold climates, it is a good idea to have a place to put the llamas where doors can be closed, to shut off all wind.
Heating is usually unnecessary, but reducing wind chill is a good idea.
Very young llamas do not have good ability to regulate their body thermostats. Llamas that are ill, don't need any further stress, so again, it is useful to have some better shelter for llamas that fall into this category. It doesn't make much sense to thoroughly groom a llama and then put it back out into a field so that it can dirty itself back up again.