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It's depend on the location you've planted your bushes.
If it's open place (no wind shield) and sunny (south) side of your yard then there is higher risk of wind-damage and sun-burn. I had my rododendron on the north side in a shielded area and didn't cover for winter. It perfectly survived. I just applyed spray on the leaves.
I found the following on a web site that you might find helpful.... Sorry it is sooooo long...... ;)
Winter Damage or Injury
Boxwoods are susceptible to winter damage and may show the following symptoms:
The foliage is reddish brown, yellowish, grayish green, or completely loses color.
Entire branches may die, especially in the middle and apical parts of the crown.
Sunken areas in the bark of the trunk just above the ground line, in the crotches, or along the sides of main branches occur. Examination of the sunken bark may show that it is brown throughout or contains brown streaks and that, in many places, it has separated from the wood so that patches of considerable size can be stripped off. Cracks may develop in the stem.
Boxwoods that are low in vitality are more susceptible to winter damage. Plants that experience a growth check during the summer and are stimulated into untimely growth by rainy periods in the fall do not harden off their growth before freezing weather; therefore, they are susceptible to winter damage. In mild winters, plants that were dormant in the fall may be coaxed into cambial activity on warm days, especially if they are exposed to direct sunlight. The recurrence of freezing weather injures or kills the new tissue and sometimes causes the bark to freeze and separate from the wood.
Water loss may cause severe damage to boxwood. This loss occurs in winter when high winds or temporary warm weather causes a plant to give off an unusually high amount of moisture. This, coupled with frozen ground which prevents roots from taking up moisture, causes browning or burning of the foliage.
Spraying boxwood plants that have a tendency to winter burn with an anti-desiccant spray in late November may help to lessen winter burn or browning. A second application in late January is often recommended.
Various management practices may help to prevent winter damage:
Make sure the plants enter the dormant season in a healthy and vigorous condition with adequate soil moisture. Check to see that the center of the plant is free of dead leaves and other debris.
Water during dry periods throughout the year. If fertilizer is needed, apply before July, and do corrective pruning during the spring. Proper pruning aids the development of strong stems.
Provide wind protection for plants in exposed situations by using snow fences or lattice frames covered with burlap or pine boughs stuck in the ground.
Provide newly planted boxwood with a temporary burlap screen or snow fence for shade and wind protection. Do not let the burlap touch the foliage.
Mulch with wood chips, leaf mold, or similar materials. A mulch protects by preventing rapid temperature change at the soil surface, deep penetration of frost, and excessive loss of surface water.
Remove snow from boxwoods during or after a snow storm or as soon as practical by brushing the plant with a broom or stick. The weight of heavy snow may cause the stems to break, especially if they are weak. However, do not attempt to remove snow if branches are frozen as breakage will occur.
Avoid planting boxwoods under the eaves of the house where snow may fall from the roof and cause damage to the shrubs.
Large American boxwoods may be protected against snow damage by wrapping the outer branches with strong nylon cord. Tie the cord securely to a low branch, pressing the boughs upwards and inward; wrap cord in an upward spiral around the bush, having cords 8 to 10 inches apart. Have cord tight enough to prevent breakage from excess weight of snow or ice, but not tight enough to exclude air circulation around the plant.
My old neighbour has boxwood and lives in Ottawa and he makes sure they are well covered in snow for protection each winter. I understand they will die if not covered for the winter temperatures in that area.
Landsccape Designs - Ottawa-Bank St.
Deciduous Trees & Shrubs
Rhododendrons, azaleas, boxwood, some Japanese Yews, Japanese Maples and certain varieties of euonymus all require special care prior to winter.
I also have a grouping of boxwoods. I have never covered them and yes, they stay green all year. I guess only if salt spray from the cars would be an issue, but they should be ok. They also make lovely additions to fresh cut greenery brought inside. I use mine in Christmas decorations. No need to place in water, they just stay green.
boxwood stays lovely and green all winter.