There's really nothing you can do to protect from cold except for ensuring that they have been well watered and mulched in the fall. What causes winter damage to rhoddendrons, however, is the combination of cold, sun and wind. Whatever you can do to protect them from sun and wind will help them avoid winter damage. Burlap or snow fence screens, evergreen boughs or other improvised protection will all work. WiltPruf will also help, but it may be too late to spray it at this point - it can't be applied when temperatures are below freezing.