I cover them when the leaves have fallen off the trees that I use to cover them with and usually the hydrangea's leaves have turned colour or started to shrivel. Some of the leaves on the hydrangeas may still be green. Hope that helps.

First freeze kills the leaves regardless of their colour. Some years they turn a lovely yellow first and in others, straight from green to crispy. It's ok to cover them up after the leaves shrivel but delay as long as you can. H. macrophylla continues to increase its seasonal cold tolerance in response cold temperatures...cover them up too soon and they may not be ready for the really cold temperatures despite the insulation you provided.