The first fig I tried to protect in OK lived in a pile of hay covered with a big garbage bag. Did just fiine. Did the same last year but had some die-back even before a late frost caught the uncovered figs.
This year I tried something different. I cut the tops and bottoms out of plastic barrels, leaving about a two-inch rim top and bottom to preserve shape stability. I tied up the figs in a cone shape, bending some long twigs into a U-shape and turning them back to the ground. Anything that did not fit into the barrel was pruned off just below barrel height.
When done I set the barrels over the figs, then stuffed hay and wheat straw all around and between the branches, filling the barrels to the top, even mounding up the hay a bit.
Next I put plastic lids (from cattle feed tubs) over the barrels and fastened them on with metal screws. Finally I mounded soil around the bottom of the barrels. The plastic lids fit loosely; they will shed water but will allow the barrels to breathe.
If anyone else has tried this, I'd like opinions.