I have found that these shrubs need to be protected more from the sun and dry winds in the winter than the cold temperatures. As the pine trees have grown closer together in the windbreak, they now provide the necessary protection for these types of plants. This seems to imitate their natural habitat, making it possible for them to survive for me. The Manning area is on the divide between the Mississippi and Missouri rivers, which puts us in a higher elevation (Vegetation ZONE 4). The safest thing to do though is to plant the most hardy varieties.
Below is a Rhododendron. Ten years ago I planted a rhododendron and it survived for three winters, until one windy (25 below zero farenheit) winter day. Now they have a lot more protection and the soil is more acidic because of the pine needles, which is what they like!!!

Below is one of my Azaleas in bloom. It is in filtered shade and does quite well here.