MR .. I live in Denver and "some" of my semps have lived for two years. We had brutal cold last year and I did lose a number of them but some survived. And I am thankful for those.
The spring freezing
wind did more damage than the extended cold. Your idea of putting them in a window well seems like it might help. I cannot do that as most of mine are in very heavy hypertufa pots and if I got them in there I would never get them out.
