Enclosing a covered balcony so it's usable in the cold months

My balcony basically sits dead for half the year, and enclosing it seems like the cheapest way to get an extra room. For those who have done it, did you use glass panels or full windows, and did you have to get approval from your building or municipality first? I have heard mixed things about condensation, heating costs, and whether the space even counts as part of the home afterward. Was it worth the money and hassle, or would you leave the balcony open?

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