Bernadette,
I am in zone6-a(ish), and put a strawbale cold frame together in this past fall. I have yet to go to your link, but wanted to say how thrilled i am with the one i made!
Someone gave me six bales, which i put into a rectangle. Then, i covered them with 6 mil black plastic, secured with homemade 9 guage wire u-pins. I laid thick newspaper in the bottom of this one, and filled with a bale of soiless seed starting mix and a pile of my homemade compost mixed into only the top 12 inches or so. It is quite fluffy, and holds water well. Atop the bale frame, i laid 2 old glass and metal storm doors.
We had temps only as low as 5*F. only once this season, many nites in the teens. I satill have fresh cilantro and mixed leaf lettuces doing great in their!! Of course they are growing very slow, but i get some each week for the dinner table or to share around the hood :) It is fantastic. This morning, my husband and i decided to increase this by three - and have it all!! This will be a mighty long bed/coldframe....and one end will be more compartmentalized and have a hearing coil underground for germinating transplants earlier. This will be very welcome, as i have reached a limit of 25 flats at a time in my cold basement with windows and light banks.
Hope you can do it, too! I am ready to have spinaches in there from now on, too :)

I forgot to mention that i have a thick comforter atop the glasses on these cold nights!