If it’s marginally hardy, I would just move it inside for the entire winter.

I do not have a garage or cold cellar. I have rooms that stay about 60. If I leave it outside except for the coldest nights, I still worry about it being exposed in that terracotta pot. Ugh, it was to avoid all this that I tracked down the hardiest rosemary I could find.

Best would have been planting it in the ground in the spring. Since it is still in a pot, bring it inside for the winter but put it somewhere where you will look at it daily. These plants go from fine to dead in a day. Careful watering required.

^^ And make sure it gets plenty of light indoors. Water only enough to keep it alive :-)

And if it doesn't make it - very tricky to keep them alive indoors - get another one in spring and plant it in the ground as soon as you can. Herbs of any type make very poor houseplants. Even on a temporary basis.

What is wrong with either sinking the pot in the ground or carefully planting it now?

You certainly could. But that may not produce the same results as it would have had you planted it in the ground directly and allowed the roots to establish fully.

OK, then I will put it out.. Is it better to unpot it? Ok to choose a place that does not get much sun? Should I protect with some kind of cloche??

If it were me, I would unpot and plant directly in the ground provided it was very well drained soil. And in full sun. The soil drainage is probably just as important - if not more so - than the ability to withstand cold temps.

A cloche may not be a bad idea for really cold weather.