Yes, I had them for about eight years in the ground in the garden. They were mulched summer and winter, but no extra mulching for winter. Perhaps variety centifolium is less cold hardy, I don't know.
But it sounds like your problem, Pat, is not so much cold hardiness, but rather early emergence. I think you will benefit most from a heavy winter mulch, placed over the soil well after the ground freezes deeply (4-6 inches). This will keep the cold in the soil when spring comes and delay the sprouting of the lilies 'til after danger of frost has past. You won't need to complain about frost blankets and such.
It's not the funnest thing, and your neighbors will think you rather silly, out in the garden in your winter clothing spreading frozen mulch. Spreading mulch over some snow is okay, too.
