I cut them back in the spring, after they start to shoot. Then you can cut them back to the new growth ...
If they are small new plants you could mulch around them, or cover them with an upturned pot, to shelter them from the worst frost.

I agree with Hywel. I do mine in spring too, I leave the old stuff on to protect from frost

When they start to grow they shoot from buds on last years stems and first year plants are particularly vulnerable as they don't usually have many multiple stems at that stage. So make sure you have soil over the first couple of inches at least of the stems. First year plants are often best overwintered under cover but a thick layer of soil and/or mulch will help. Don't have one that will harbour slugs as they can eat the new buds as they appear in spring. Do not cut off old stems until new growth has started. In a mild winter old stems may bud but in a harder one it will only regrow from the base.

Oops, sorry Hywell, didn't notice you'd said a lot of this already!

You've said it better :o))

Bless you, I'll keep a note of that to cheer me up!

For first year plants do as already advised. Lift and pot them for over wintering in a greenhouse. When hardy fuschias have established and formed a multi stem crown in the mildest areas they are able to survive as a shrubs without having to be cut down. In most areas it is better to half cut them down and place a pile of half rotted leaf mould or compost over and around the fuschia. The remaining stems serving the purpose of holding the mulch in place. In Spring scrape away the mulch and cut the plant down to near ground level. By then there should already be new shoots starting to emerge. On well established hardy fuchsias they behave more like an herbacious plant with many shoots emerging from ground level.