I'm thinking Charley's zone 4 is a lot different than Maurice's. Being probably high altitude and desert climate with very low humidity year 'round makes a huge difference to hardiness.
Charley, I'd recommend that rather than trying to keep the root zone of your daylilies warmer with stones (that you'd have to remove in summer because they'd collect too much heat) you might try just being sure they don't get too dry through the winter. Insulation from cold is one thing, but cold and dessication is really tough on most plants, especially those that store moisture and nutrients in their roots like daylilies do.
Use a generous (deep) mulch of organic material like wood chips that will retain moisture, and also water at least once a week if it doesn't rain or snow. This is from my experience growing daylilies in Salt Lake City, where we lived for 20 years, and my kids still live. It's high and dry but a zone or two warmer than you. I don't have any problems with daylilies here in Florida, needless to say they hardly slow down through the winter here.
