Answer: All of the plants you list come in numerous varieties with different cold tolerances. Rhododendrons are reasonably hardy shrubs; most are hardy to zone 5 (-20F to -10F). You're no doubt colder than that, but if you purchased your rhodie locally, it's probably Rhododendron canadense, which is hardy in your area. If you purchased through mail order, or brought a plant home from another state, you might want to cover it with an old sheet or some burlap to protect the flowering buds from being affected by extremely cold temperatures. Also mulch heavily around the roots with leaves, straw, etc.
The same info applies to your azaleas and juniper. For example, azalea 'Northern Lights' (R. prinophyllum), is hardy to Zone 3 (to -25F). Some varieties of azaleas are deciduous and drop their leaves, some merely color a bit, while others stay quite green for the winter. If it is in a windy spot you might consider erecting a wind break of some kind using a permeable material such as snow fence or burlap but assuming the azalea you are growing is rated hardy for your area (some are hardier than others) there isn't too much you need to do beyond making sure it has several inches of organic mulch such as shredded bark covering its root area (but not touching the stem).
Since the juniper was recently installed, it wouldn't hurt to protect it for the winter. Good luck!
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