Answer: These shrubs are deciduous and will be losing their leaves soon due to the cold weather. You do not need to protect them from frost. The best you can do for right now is to keep the soil slightly moist (like a wrung out sponge) until it freezes. Then apply a deep layer of organic mulch over the root area to help maintain a steady cold soil temperature.
This hydrangea is special in that it is able to bloom on branches that grew the year before as well as on new growth of the season. (Most hydrangeas only bloom on the old wood.) This is how it blooms for such an extended time. And, if the winter kills back the branches to the ground, the plant will still bloom nicely but not as early in the season.
Your zip code places you in zone 6B or the warmer part of zone 6. Depending on the microclimate where they are planted, you may want to provide them with some extra protection to try to keep the branches from suffering winter damage -- and thus enable them to bloom over the longest time possible from both old and new stems. You can erect a wire mesh cylinder around the plant and fill that with a dry, nonpacking insulating material such as oak leaves or straw. Cover with a tarp to keep it dry, but allow some gaps for air circulation (to prevent condensation). Put this on in late fall after the weather has turned quite cold and the plant is dormant, and remove it in the spring as the weather moderates.
New plants tend to be more susceptible to winter damage than plants that are well established and fully rooted. Planting this late in the season will not give them much time to root before the cold weather. If they do suffer winter damage and die back to the roots, they should still regrow from the ground and bloom next summer. Enjoy your hydrangeas!
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