Hello Mossy Beard,, welcome..
If you house is tight, an outside air source is a very good idea.. even with a loose, drafty house it is a good idea.. with a dedicated outside air source, you get to control where the cold outside air comes into the house, and where it goes..
Without a dedicated outside air source,, cold outside air is pulled into the house through every crack, creavase, loose window or door.. So the whole house is getting cold air infiltrating into the rooms.. With the dedicated outside vent,, the cold air comes from the vent to the heating device.. this applies to any burning device,, oil, gas, wood or coal... It is more important with coal and wood, because these heating appliances are very dependant on a good draft to pull combustion air through the fire...
Take a couple of photos of your setup and explain what your burning/shaking/loading technique was, and we'll see if we can help.