What kind? Some bloom on old wood, new wood, and some bloom on old and new wood.
I am no expert by any stretch of the imagination on hydrangeas! This year is my first experience with one. "Blue Heaven" hydrangea, but I know that BH blooms on old AND new wood. So, I also will not prune down for winter.
I plan on mulching well with shredded oak leaves, maybe even put some chicken wire fencing around it (after gently tying stems together) and stuffing with oak leaves.
Others probably have many other suggestions.
Do you keep them evenly moist? Have you fertilized at all this year? Tested your soil at all? Maybe the one in full sun is getting way too much sun especially later on in the afternoon. It may not be staying moist enough then. Try for morning sun.

Here's a good article with some good ideas for winter protecting.

Here is a link that might be useful: Winter Protecting Hydrangeas

I am pretty sure I have Annabells. The one in full sun is an endless summer, I believe. No, I have not fertilized. what should I use and how much? thanks for the advice.

I wouldn,t add any fert. this late.

Water: try to maintain the soil as moist as is practically possible. You can insert a finger into the soil to a depth of 4" every morning and water the soil with 1 gallon of water only if the soil feels dry or almost dry. Note when you water on a wall calendar. After a couple weeks, look at your notes in the calendar and determine how often you water. Then set the sprinkler or drip irrigation to water 1g of water on the same frequency. If the temps change 10-15 degrees and stay there, use the finger method to adjust the sprinkler (if necessary).

If the hydrangeas wilt, water only if the soil feels dry because they will recover on their own by next morning.

Fertilize: add about 1/2 cup of manure, compost or cottonseed meal in June if you live in the norther half of the country; otherwise fertilize twice a year, in May and July only. You can also add coffee grounds during the growing season but stop all fertilizers in July.

If these shrubs are hardy in your zone, all they will need is 3-4" of mulch. If this winter is dry and the ground does not freeze, water the plant once every two weeks or so. If you can tell us what types of hydrangeas these are, we might be able to say whether they are hardy or not.

If your soil is not acidic, apply some amendments to acidify the soil and prevent iron chlorosis at least once in Spring (it depends how alkaline your soil is). If your soil is acidic, add no amendments. You can use aluminum sulphate, iron sulphate, garden sulphur, green sand and liquid iron chelated compounds (sold at most nurseries).

Luis