My S. 'Hot Lips' went through 3 winters in a raised bed. I think they are somewhat short lived plants, and also need good drainage in areas that receive heavy rain in winter and spring.
My S. 'Pineapple Sage' became quite tall and bushy, well over 3 feet tall and wide. I just love that plant. So far I haven't had success with carrying it through winter. Way to wet here in winter and spring. I am going to try adding sand and grit to a raised bed at the far part of the yard on the other side of the creek to see if that will get it through winter.