We use burlap here Angie.

There's horticultural fleece, which you can buy off the roll at Garden Centres, and wrap in double or even more layers round the shrubs for some protection, but this is only limited. Try hessian or sacking, with straw tucked around the shrub. Also, mulch the rootball area well - a heap of mulch up to the first branches does help.

No, it doesn't have to let light in, but it's good for the plants if you're able to give them an airing and light on milder days.

Whatever you do, don't wrap plastic or bubble wrap round the greenery - keep this for wrapping round pots to keep rootballs from freezing.

Water and wind are the key elements that cause winter damage to hardy shrubs. Putting in some windbreaks and making sure the soil drains well will help the shrubs more than covering it in my humble opinion. Reed or Bamboo screens would help a lot.

Which shrubs are they Scottish?

Thanks for all your input....I have fleece and some hessian but have never successfully brought a tender plant through winter :(( It will be my fault for not wrapping it correctly, I have no doubt about that!
I was going to follow a bit like your advice Kildermore by building a frame around and wrapping the frame but wasn't sure what to use, thanks for that.
I think burlap is like hessian is it not Lil?
Spritz I have mulched already - so thanks for that tip.
One of the plants is a choiysa - should be hardy MG as neighbour has an identical one growing about 8ft away over the fence but mine's is only around 10 inches tall and just wanted to make sure it was ok.
The other is a Pittosporum Tenuifolia (?) Another garden centre member of staff said 'hardy' but on looking it up yesterday it said H3 so will need protection. I really need to stop asking staff in the GC for advice - That is 4 plants this year the label says hardy and it is not - obviously generic labeling for all over UK!!!! 3 already in bin but would really like to keep this as I love it :)

Pittosporums aren't reliably hardy. I tried two new ones in 2009 and 2010, checked with labels and the staff, fleeced them - and lost them. I'd protect it as much as you possibly can! Good luck. Let us know how it goes.

Thanks Spritz, will do :)