Wait until late spring and see what is completely dead and what is sprouting new growth.

Prune off the dead stuff.

Agree with lazygardens. I, too, am tempted to take out ours in Las Cruces, which look terrible after the record cold, but large specimens shoud probably be 'root hardy' if not 'large stem hardy', so I am going to water a bit and wait a few weeks, then if they are alive just cut out the dead parts. With a large root system, the plants should theoretically recover quickly. I haven't had experience with such prolonged record cold, so patience is required for now (not my strong suit, I should add).

In NM you'll need to wait past Spring all the way to hot weather. Rosemary will need warm soil and consistently very warm/hot weather to recover. Keep giving them a good deep occasional drink, esp. as our Spring winds kick up. Any crunchy or shedding parts can be trimmed back, to lessen the fire danger if nothing else, but go easy on them.
Be patient, which can be the hardest thing to do.