Jacquie,
just work on getting them well rooted ~ plenty of water & possibly a fertilizer high in middle number to develop roots. Other than that your grass will most likely be fine. I have been growing the species Pennisetum orientale here in S.W. Ontario - also zone 5 - and have never had any trouble with it surviving the winter. Actually for a number of years I had one plant overwinter quite nicely planted in a wooden wiskey barrel.

good luck,
A.