I just got Rose of Sharon seedlings from my dad's house in Vermont. Maybe some straw or leaves around the base would keep them warm a bit.
Last winter was too cold in Southern Maine too. Many annuals that have usually seeded themselves, didn't. One of my kale, turnip and parsnip did fine. The kale that didn't come back had lots of seedlings pop up all around it. I am transferring some food to the sunny garden in the front of the house so I can pick all winter.