I never have any luck over wintering the Salvias that get woody. But I keep trying. Last year I planted Salvia greggii Wild Thing and Furman's Red. I have two Salvia x jamensis Heatwave Blaze and Heatwave Glimmer. All four plants looked wonderful going into winter. They all get good drainage. Right now none show any sign of life. They are all still firmly in the ground. I cut them back to about four inches.
Are they maybe just really late to come back? Is there some trick to over wintering them?