I've lived in Lexington, east of Lexington, Louisville and now in W KY over the years. Even with the incredibly icy cold winter just past, I lost no daylilies. They seem to love Kentucky gardens in spite of the ever changing weather. In fall, when the foliage begins to turn yellow and brown, I cut them back to just about an inch or two above the soil line. They'll come back in spring. I do mulch, but not very deep, maybe 2 or 3 inches. If you have some of the new and very special hybrids - the very expensive beauties, you might want to give them extra protection, but for our area, if they are happy in the soil and if they've done well for you during the growing and blooming season, they'll likely be just fine.
You are a zone colder than here, but since I've lived there I can pretty well assure you that they'll overwinter well in your garden. Good soil, mostly sun, water, and seeing that they are well established in your garden will provide them with all they need for winter. They'll die back and will be dormant, but they'll see you again in the spring.
Some of our other members might give you more advice as well, but unless next winter is more drastic than this past one, there should be no problem. For us, it's probably one of the easiest plants to grow.
Glad you're here! There are several other Kentuckians on ATP as well and many of them are also daylily lovers. If you'll scroll all the way to the bottom of ATP's home page, in very fine print, you'll find 'Memberlist'. Click on it, give your zip code and you'll find others who live nearer to you than I do. Maybe they grow daylilies as well.
Here's an easy link: http://garden.org/users/member...
I hope you really enjoy your new garden!