I need emergency winterizing for my plants, please help

I am moving to Floyd, VA, elevation 2850'. Apparently the winters are more severe than I realized. Zone 6 (b?). I just took down a bunch of azaleas and roses. The roses are ready to be put in large pots, and I am doing the same with the azaleas. However, the local nursery said they will not make it through the winter without protection.

My options are to construct some kind of frame and staple heavy duty clear plastic, or corrugated translucent/clear hard plastic, or put them into one of two available spaces: a unheated windowless workshop where I could enclose them in a makeshift plastic tent and then put a small heater inside the smaller enclosure and provide light with fluorescent bulbs. The other is also unheated and is a regular school/classroom trailer. It does have windows. I could do something like that there as well.

Actually, the final possibility is encasing the elevated landing in heavy duty plastic and insulating the decklike floor. I could access this directly from the house. There is an outside electrical connection so that I could put in a small thermostatically controlled electric heater.

The final possibility is to purchase a portable, temporary greenhouse and put that into the classroom trailer with the little heater. Although it is getting cold, I think I may have a window of about 2 or 3 weeks to do something to save them.

Does any one have any other suggestions or advice for one of these plans?

Oh yes, the nursery said that they might make it insulated in sawdust. I thought maybe hay? I don't know that I can get sawdust delivered.

Sincerely,
Gloria