If a plant is fully hardy for your climate zone, there is usually no need to provide any protection in winter. The exception is those plants that have already developed flower buds that can be damaged by prolonged cold temperatures, like some kinds of hydrangeas. Some perennials do not survive winter in colder zones (and many milder ones as well) because they will not tolerate wet soils or the combination of cold AND wet, as is often the case in winter. Providing exceptional drainage for these types of plants - salvias, agastache, echinaceas, etc. - will help. And some perennials are prone to winter damage from heaving or exposure of the roots during freeze/thaw cycles. Mulching well to insulate the soil will help. Making sure plants go into winter well-hydrated will help also - some are subject to drying out in cold winds and a moist soil (NOT wet) is a better insulator than soil that is dry.

Other than that, tender perennials or borderline hardy plants should be protected. Google to find out the specifics for what you have. Otherwise, mulch and winter snow cover is all the winter protection you need.