They are perfectly hardy to this area. You can plant them in the ground, pot and all any day now. Maybe after acclimatising for a day or three. Am not sure that they necessarily "need" the cold, but you do want them to be growing in your garden, in your climate, and you shouldnt have to baby them at all. These first yr seedlings will not bloom this spring, but will send down roots and get established, so get them out of their pots and into their new home in the Spring.

I've had great luck with Foxys' and Lupines too. Actually, the lupines are almost a pest, sowing their babies everywhere.

I dont know when you dug the Fox gloves, but if it was within the past week or so, just pop them back outside. If a month or more ago, then I honestly dont know. I guess I would keep them indoors until the ground is thawed enough next spring. They will be fine in the house. A very unfussy plant.
Good luck, Pondy