We are in zone 4b here in Newport, Maine and we cover our lavender in the winter with white row cover called Agribon 50. The row cover protects the lavender just enough to help it winter over.
We cover our lavender around the end of October/beginning of November, hoping that the mice have found a home already! Your lavender plant can take some snow and ice but not a whole winters worth, so protect it from the harsh freezing and thawing.
The piece that we sell measures 4′ x 7′ and is enough to cover 2 mature lavender plants. Lay the cover directly on the plants and anchor with bricks, rocks or metal pins. When you remove the covers sometime in April, the plants may be a little flattened from the snow but with some sunshine they recover beautifully!