Sorry for the late reply.
So I put mine up against the west-facing side of the house under the eaves and with a tree proving some very limited shelter as well. I also put one layer of the standard frost cloth over it and it had no problems making it through the winter. Actually, when I removed the cloth it was already in full growing mode!
I think the most important thing in keeping them alive is keeping them dry. The minute they get wet and temperatures go down it's over.