how to winter my 'Russian Sage'

The plants I cut back (as recommended) last fall didn't do well. Only half survived the Chicago Winter.
I planted new this spring from very good nursery. They grew, but not a lot. They didn't fill in as much as I expected. Should I cover them with rose cones? Should I cut them back? (last years cut back was disappointing).
I see them in highway dividers here locally and they seem to thrive, even in winter road salt spray.
So what do I need to do to make my little group flourish next spring?
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FireBrick said:

You pruned them at the wrong time.

No.
Prune Perovskia back to about six inches in the late winter or early spring, /before/ new growth starts.
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Eggs

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Thanks Eggs.

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