Frost already? Ouch. I've had good luck giving them a dormant period inside in a cold basement room (40-50F). Our winters are pretty harsh on young seedlings, and 1 year seedlings of fremontii, crispa and ianthina haven't always lived through them if planted outside.

Thanks Michael,
I wondered if the first winter might be hard on them. So should I just put them pot and all in the dark in the basement? Any water? Will they die back? I also have some tubulosas which are herbaceous and I am assuming they will die off. I just never get the whole dormant in the basement thing. It just seems like stuff dies to me. How exactly do you do it???
Thanks for answering. I was beginning to wonder why no one knew!!
Debbie

Your main concern with those small plants planted out now is possibility of heaving and exposing lots of roots to freezing weather.
What I have done in the past very successfully is to put mine in the frost free area outside- I have basement window wells outside which are covered with plastic- air exchange allows temps to stay fairly above the freezing all throughout the winter.
You can bring it in the cold basement sometimes in the next couple of weeks and leave it alone, maybe water it once in Feb or so and take it out in the spring but you have to keep it rather on dry side or they will rot.
Those ones that have largest root system could be planted even now. I would dump large pile of oak leaves on that area after soil frozen.
If you plant is very small you could bring it under lights but as with most perennials they do need their cold period to develop well so trying to grow them over winter is tooo much trouble IMHO