You should not cover sedum in winter in most cases. Sedum handles cold air just fine across Zones 3 through 9 without any blankets, tarps, or heavy mulch. Covering your sedum traps moisture around the crown and that causes far more damage than the cold itself.
I made this mistake my first winter with sedum. I piled a thick layer of shredded bark mulch over my Autumn Joy bed to protect it from a predicted cold snap. When I pulled the mulch back in March, three out of eight plants had brown mushy crowns. They never came back. The mulch held moisture against the crowns all winter and caused rot. The sedum I left uncovered across the yard survived without a single loss.
Sedum survives cold by pulling water out of its cells before frost hits. With less water inside, ice crystals can't form and burst the cell walls. This makes sedum winter hardy to -30°F (-34°C) or lower for many species. Wet crowns break this defense. When moisture sits around your plant's base all winter, the cells stay too full of water to handle the freeze.
Your sedum overwintering success depends on drainage, not on what you put on top of it. The plant enters dormancy in late fall as the stems dry out and the roots go quiet underground. In spring, new growth pushes up from the crown once the soil warms. This whole cycle runs on its own as long as water moves away from the roots during the wet months.
The Old Farmer's Almanac says to plant sedum in full sun in Zone 5 and colder zones. Sun helps your soil dry faster after rain and snow melt. That protects the crown through the hardest months. If your area gets heavy winter rain, spread a thin layer of pea gravel around the base to move water away fast.
There are a few situations where light sedum winter protection makes sense. You should protect your plants if you grow tender varieties like Lemon Coral in zones colder than their rating. You should also help plants in their first winter since new transplants haven't built strong root systems yet. A light gravel mulch works better than organic material in both cases.
Leave your dried seed heads standing through winter. They look great covered in frost and snow, plus they insulate the crown and catch snow that acts as a natural blanket. Cut them back in early spring when you spot fresh green buds at the base. That's the only pruning your sedum needs all year.
Focus your energy on making sure water drains away from your sedum roots during winter storms. If your soil holds water, mix in coarse sand or gravel around the planting area before the first frost. This one step does more for your sedum's winter survival than any cover or mulch you could add on top.
Read the full article: Sedum Plant Care and Growing Guide