Wow! How close to you are they? It's probably just me; but I'd let it go. This isn't nearly like barking dogs, noisy kids, or loud music. They're just trying to keep warm...
EDIT: I've been thinking about this a little bit more...
How about speaking to your neighbor, and asking them to assist you in putting up a small section of wall to attenuate the sound? A sold surface would direct the noise away from you, and they could put some sound absorbing material on their side also...
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