No - not unless they're Lavandula stoechas varieties, the French type lavender, they aren't as hardy as the English varieties, but even they'll be fine in an average winter, its only if its really, really cold for extended periods.

No, I have never or even heard of them being covered, I trim them up for the winter and they cope very well, trim them up each year, if your lavenders are new plants then they will stay more compact and look better for much longer than if you leave them to get leggy.