Here is an example of damage to the foliage of an azalea shrub.  Continuous cold nights, and dry windy days have caused the foliage to evaporate.  Luckily this damage is only isolated to the leaves.  In this same landscape, two other azaleas have completely collapsed, and will need to be removed.  Hopefully new growth will emerge in Spring and these damaged leaves will shed away.  One way to protect your soft petal plants is to cover them during periods of extreme cold.  Always use a cloth covering, or even large boxes.  Never use plastic.  Plastic will transfer the cold right through to the plant.  It will also cut off air circulation to the area.