The growing tip right down inside the centre of the leaf rosette where it joins the main stem is the part most likely damaged though severe winters can kill the trunk too. They will normally shoot from their base again quite quickly if this happens.

To protect the top though, the most usual method is to pull all the leaves upward and tie them with a loop or two of soft twine. This should protect the centre.

You could lag the trunk (if big enough) if you wanted but after an exceptional cold snap like last January I doubt it would have made any difference.