If you’re expecting frost over the winter, you want to start prepping your hydrangeas at the end of fall, so now ideally. If you live in a milder climate, then you won’t need to take as many steps, but you should still start getting ready to winterize your hydrangeas.
If you live in a very cold region and have to wrap up your hydrangeas because of regular frost, then you should only remove the layers in early spring — be prepared to reapply them if the temperature drops again.