They do fine - just cut them back early every spring. They're late to emerge.

Here in Chicago, a buddleia I planted a few years ago did not survive that first winter. That was my first attempt after moving into a house with plenty of garden space.

I tried again the next year, and it did reasonably well. Last year it came back as a VERY vigorous 7 foot plant that attracted hundreds of butterflies over the course of the season. It reappeared recently, and looks likely to be even more vigorous this year.

With buddleia and other species that are of marginal hardiness in this zone, I aimed for maximum insulation over the winter. Whenever we had snow, I piled it as deep as possible over those particular plants whenever I shoveled. Last winter's snow and temperatures made that even more effective, as some spots retained snow cover for almost the entire winter.

Using that technique, I was able to get vigorous regrowth even with a species at least as marginal in this zone - gaura lindheimeri (http://www.floridata.com/ref/g/gaur_lin.cfm).

In winters where temperatures aren't cold enough to retain snow, heavy mulch might do the trick. Even with that technique, I don't know that expectations of any more than "short lived perennials" is realistic. I'll try to keep my buddleia going as long as possible. If it lives to 5 years, I'll be surprised and pleased.