Hey Daniel, it just occured to me where last Winter, I learned a little from experience...but the experience was not by design or by choice. Lol.
My Needle and Minors were buried under snow for a very long period, and they either did good or at least survived, without any other protection. The Needle did best, with just a few fronds "departing" later in the Spring, lol. I recall someone else had no real problem with their Needle being buried either. The Minors eventually showed more damage, "but" they survived in what was still a horrific Winter. I feel if my palms were not under the snow the damage would have been greater and showed up sooner, and some of them may not have even survived.
If your going to get below zero, I would put snow over them or leave the snow if they're getting buried, esp. if your not doing any other protection. You can adjust moving the snow as to not badly bend or break the fronds. Esp. at ground level by the roots I would think the temp might even remain close to freezing??...but a lot better anyway than above the snow line.
In regard to your last comment, yes you could otherwise just have a big bonfire party...which I think would be the most "fun" way to protect your palms.