Here's the link in our database, which says they're hardy to zone 9a. So you're pushing the zone a bit but not bad.
Pygmy Date Palm (Phoenix roebelenii)
I can tell you from my personal experience that they do stand up to a fair amount of frost, but probably not a hard freeze. We had two bad winters in a row here, 2009 and 2010. A lot of the more tender palms died, but the pygmys were fine.
If you haven't already planted them, choose a site on the south side of a building or even a large clump of trees. That can provide at least a zone's worth of protection for a lot of plants. They are sheltered from the cold wind on the back side of a cold front, and also if next to a building, or even a solid fence it acts as a heat sink to retain heat through the cold nights.
