Penstemon seeds usually respond well to stratification, that is, sow in the seeds in or on a moist medium, then chill them by keeping the pots/baggies/whatever you use at about 40 degrees F (doesn't have to be exact) for 6 weeks or so; then bring the pots/bags/whatever out into room temperature and light for germination. (Note: Not all species need this but many do.) Since you're in an area with a real winter, you wouldn't do this now... instead, start the seeds in January. You'll need a decent light set-up to do this well... many failures at starting seeds indoors are due to poor light conditions.
Or you can just pot them up and set the pots outside and let nature do the stratification for you. Then, they'll germinate in spring in their own time.
You'd get seedlings earlier by starting them indoors (as per the first method I mentioned), if that's important to you.
Each kind of Pentsemon that I tried to start grew SLOWLY.
I tried winter-sowing some and they seemed to have failed to germinate. So I set those pots aside. Weeks later when i went to toss the soil out, I saw TINY fuzz that I thought was algae. Nope. Small Penstemon seedlings.
I grew them on in pots for MONTHS, hoping to get something bigger than one bite for a slug. Nope. They were still less than 1/2" tall when i forgot to water their pots and killed them.
Beardtongue (Penstemon calycosus or cobaea?) may grow faster than the ones I tried, and probably I didn't give mine ideal care.
These are the five I tried to wintersow. I forget which ones I saved and killed later because I noticed the "algae".