nope, they won't require heat. a pile of rats is a very efficient heating machine! I use hemp for my rats, you can get it from Dandenong stockfeeds for about $25 a bale, I'm not too sure where else stocks it. I got mine cheaper because I bought two pallets direct from the manufacturer, to be honest I'm not too sure if anyone else stocks it in Vic.
I much prefer hemp, I was running about 150 rats over 2 tub racks right near the front door of my house, and you could only smell them once a week, the day before cleaning day. It also doesn't stick to everything the way shavings do, and doesn't make everything smell like a barnyard like chaff. It also has the added bonus of tending not to set off allergies in most people.
Shavings or chaff are certainly the cheaper options though. Pine shavings are fine as long as they are kiln dried and dust extracted. Breeder's choice is both.
I don't give mine any different nesting material, they get a deeper layer of hemp and they make a nest out of that. I used to give them shredded paper to nest in, but that would just get gross and smelly really quickly.
As for feeding them, definitely get a bag of rodent cubes and make them a hopper so the don't waste it. Don't both with barastoc, it's rubbish, Cummins "mcmanus rodent cubes" are good (I had a terrible experience with their lack of customer service, but the product is good), the mouse cubes are okay, but the mcmanus is a specific formula that is generally much better than the mouse cubes. I use Laucke mills, and I really like it. I do think the cummins is a slightly superior product, but I won't attempt to deal with them again because they have no idea how to treat customers.
Sorry for the rambling, hope some of it's helpful!