If you have chosen species from your area, they usually will not need winter protection unless you have placed them in a location unlike that in which they naturally existed. In this case you may want to apply protection such as evergreen boughs for shade from strong sun or wind. Make use of micro-climates around your property when you select locations for plants.

Selecting, Growing and Caring for Penstemons
From Chapter 41

Lindgren, Dale and Wilde, Ellen. 2003. Growing Penstemons: Species, Cultivars and Hybrids: American Penstemon Society. 519 West Lancaster Avenue, Haverford, PA 19041-1413 : pp. 105-110