The old fruit 'n' veggie book (maybe Time-Life?) I use says they are hardy to a sustained 15 degrees F for a few hours, but recommends the mulching & southern exposure that you mention. There are some gigantic ones in this area.
We had 8 degrees at the old house here in East TX in '83 and that killed back the old one, even with a (round) bale of hay spread over and around it. But it sprouted very vigorously from the rootball and bore some fruit the next spring with a small crop in the fall. The Celeste I have now survived temps that dropped to 12 degrees for a couple of hours, one recent winter.