cant believe no one has ever used one of these...

Where are you located?

You're right that anything that provides some shade and reduces wind exposure will significantly help broad leaved evergreens, especially rhododendrons, cope with winter. It is, however, much cheaper and easier to make your own shelters than to buy pre-made tree bags which may or may not be the right size. Bamboo stakes arranged teepee style and covered with burlap or frost protection fabric work fine. Stakes driven into the ground vertically then covered with the same material is another way of doing it. The fabric should not actually touch the plant as much as possible. Once up the shelters modify temperature fluctuations in addition to helping prevent dessication from sun and wind.

BLE=broad leaf evergreen. I had to think for a minute, too!

I also live on a breezy knoll, as well, and it really makes a difference in the winter.

I still want to know where our OP lives.

ken_adrian Adrian MI cold Z5 is right. There is the risk that you will prevent the tree from going dormant. However, I think the major reason they aren't used more often is people may think they are ugly and expensive.
Still might be a good idea in the dead of winter...just don't put them on until AFTER all the deciduous trees have lost their leaves and you have had your first hard freeze. Let the tree learn it is winter. Then take them off in early March.

The original question asked about broad leaved evergreens. Protecting plants such as boxwood, rhododendron, kalmia, etc. from the drying effects of winter sun, cold and wind really has nothing to do with zone appropriateness. Many evergreens of this type will suffer the collective symptoms known as winter burn even if perfectly hardy in terms of low temperatures. The reverse is also true. You're not going to turn a Z6 hardy plant into a Z4 one by the use of a simple barrier or even a styrofoam rose cone. Temperature swings are moderated but unless you've created a very elaborate barrier to trap ground heat, there is no effect on the actual temperature the plant must endure.

The idea that a rhododendron or any other broad leaved evergreen will be prevented from entering dormancy by the premature use of some kind of wind and sun barrier is also untrue. Broad leaved evergreens benefit from sun and wind protection precisely because they do not become dormant in the same way that deciduous plants do. There is no reason at all to wait until deciduous trees have lost their leaves before installing protection although usually they are put up at this time.

A barrier that uses something such as burlap which will provide shade and wind protection, but still permits free air circulation is much better than a styrofoam cone even if the top is cut off. Moisture trapped by an impermeable substance such as styrofoam is an invitation to fungal infection.

Sorry for the late reply. I live in Northern KY near the Ohio river. classified as a zone 6B but has been 7a since I have lived here. None of the plants I am wanting to cover are out of there zone but I have had some plants in the past suffer badly from wind burn and sun scald in winter. Some rhodos which are normally shaded in the growing season are left exposed to sun and wind as soon as the leaves fall. Others are not in a area with wind protection but not bothered until winter about it. Sun and wind protection is first priority..secondly the deer get awful hungry around here and eat anything green left around...so a little cover over the leaves/new buds should keep them off.