I read an article years ago about a guy in Chicago who had lots of different hydrangeas in a wooded garden. One of the tricks he used was to set up fencing around his hydrangeas and added fall leaves inside of the fencing. Not packed but just dropped in. Or you could wind burlap around some stakes set in the ground to offer a wind break. Don't let the burlap touch the plant or fold over on top. The wind break could be done in addition to the mulching that Elaine suggests.
