I did something like that (your idea of making cylinders and filling with insulation of sorts). Don't use mulch that will be too moist (the bark of the tree will rot on the warmer days when the sun heats it up). In my opinion, keeping cold dry wind off of the tree is the most important thing, so some kind of wind-proof wrapping is a good idea (whether around your cylinders or right around the tree). As for height... there's always pruning. If you can choose a spot that is sheltered from wind and near something that holds heat. E.g. close to the sunny south side of a southern exposed stone wall, with some kind of wind block to the west (or wherever your prevailing winter winds come from) would be a good choice. As for size... well, you can prune them. And once they're old enough to get tall, if the wind blocks are tall enough that'd help. Of course, if you let them get too tall it gets hard to pick any figs from the top anyway. :-)
Mike central NY state, zone 5a