Dear Melinda, Reblooming hydrandeas bloom on current season growth to be able to bloom all summer. That growth will be tender and you should expect to see some winter dieback no matter how well you protect the stems. Wait till colder weather, then be sure to mulch up into the crown of the plant. Additionally you can place a cage around the plant and fill that in with loose straw or big, coarse leaves. this will slow the wind down, further protecting the stems.
Sincerely, Richard