Hello Tipton,
Sharon is right, daylilies do well in KY. I am in Northern KY in the Ohio River valley and grow over 600 varieties of daylilies. This past winter was not the norm. Until last winter, I rarely lost a Daylily during winter ( unless it was a southern hybridized evergreen that was not hardy). This past winter I lost quite a few (about 40) BUT most were just planted last fall or moved last fall. A couple were evergreens that I had only had a year or two ( winters were mild those years). I believe most of my losses were due to the MANY freeze and thaws ( without snow cover) that occurred verses the cold as I know a few of the varieties I lost are doing well in gardens north of me that were colder.
I do not cut back leaves but let them die back ( most of mine are dormant or semievergreen). I do cut or pull dead leaves to discourage pests that lay eggs on foliage. I mulch, but not heavily. An issue with mulch is rotting out the crown in spring so make sure it is pulled back . Daylilies do not like to have wet feet ( water sitting on roots and crown).
Hope this helps. I am sure others here will step forward and help too.
Lisa