Hi Bobbie and welcome. Well done on starting a hydrangea from a cutting! I do hope you planted it in the ground? If it's in a pot, you need to take extra measures so let us know.
You want your little plant's roots to be insulated from freezing and thawing, and also to have the soil not dry out around it. Mulching the soil around the plant thickly with things like wood chips, straw and leaves can do this job very well. "Packing" straw around it, not so great because if the straw is packed too tightly, it won't let moisture get through to the roots, but might also hold moisture around the stem which could rot it.
So, once the plant loses its leaves in the fall, rake a good 6in. layer of organic materials over the plant, (but mark it with a stake or flag, so you don't lose it's location) but don't "pack" the mulch. Air spaces help insulate and also allow rain and melted snow to get down to the soil. It's ok to leave some stems sticking out above the mulch. Big, established hydrangeas with deep root systems survive some pretty severe winters with just some mulch over the soil. Mulch is always good.
