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I have Chicago Hardy in Connecticut in zone 6b and it does fine without any wrapping. In a really cold year it will die back almost to the ground - but it still comes back and produces smallish figs every year. I let it grow in bush shape - but if I wanted a tree - I would probably wrap it in the winter.
My parents (whose zone recently switched from 6b to 7) have three Brown Turkeys, two with southern exposure near the house and one a north-facing slope. All are enormous. The northerly one bears a little bit later and a little bit less, but then again it's also younger. They did need protection for the first couple years, but since then have easily made it through the winter.
Edited to add - Oh! I just noticed you are in zone 5. I think that unless you can provide them with an amazing microclimate, you're not going to able to have them permanently in the ground. Keeping them in a big pot and moving them into the garage may be your best bet. I remember reading a story about Italian immigrants to New England who would dig up their figs and then lay them lengthwise on the ground, protected under a pile of dry leaves.