I have heard of others who have considered using straw bales but, except for lettisleaf, none that have actually done it. lettisleaf had had problems where some buds froze during winter and we speculated that it might have been because the straw shifted or got blown away (basically, she might have needed to add more straw during mid-winter). You have the same problem with leaves too.

I am trying to email someone else who seemed as if she was going to overwinter using straw to see what ever happened; hope she seems the emails and posts a reply here.

I would try by putting some chicken wire around the shrub and filling it with straw. Then keep some extra amounts handy in case you need to top it off again or add on the sides during the middle of winter. Allow several inches between the chicken wire and the end of the stems so leaves/straw can fill that space and winter protect the stems ends, which is where the flower buds develop. The harsher your winters are, the more space you should have between the stem ends and the chicken wire.

Thank you so much, the method you described is what I was planning to do. Will have to be viligant about topping off though.