Yes MiniMe...super way to protect potted plants. Watch for too much water. Other ways are Christmas lights and burlap, row cloth and newspaper. The azalea will be the tenderest if it is an evergreen. Deciduous plants are tougher than evergreens. The roots of any plant is their weakest link and burying those pots is great. Better if you buried them in a raised bed so that they would be able to continue to drain. Where are you located? What zone? What soil type?
And if you are accumulating plants for your garden, the best time is in the fall when the prices are phenomenal. Planting them in the fall is ideal. They are able to put down roots without all the energy to support leaves and photosynthesis and transporting water and food.
A piece of advice; NEVER buy one of this or one of that!! Always buy at least 3, 5 or more of the same kind of plant. A nursery is a tough place to visit because of all the stimulus of all the different plants. Too many colors, too many textures, too many forms...humans are only capable to discern 3 things at a time comfortably. Think MASSING with only a few specimen plants framed by your massed plants, also called a foundation planting or a skeleton planting.
If you have a mass of azaleas on one side of a walkway or a driveway or along the perimeter make sure to have a few or more of the same azaleas on the other side of the walk, driveway. Always lay your plants out in unequal triangles. Never a straight line or boxes or equal triangles. Doing hedges changes that rule; straight lines are not a good idea. Offset or equal triangles for hedges is far better. You can offer more room for growth of each plant and if one dies not very noticeable. Easy to repair.
You want the landscape to appear as if it had already been in place before the human elements, the hardscape was installed. Choose what is most important to you in your 'composition'; texture (fine, med, coarse) or form; (conical, horizontal, vertical, etc) or color; (of foliage bright greens, yellow greens, dark greens, purples, etc.) or flower color;( Yellows with Purples, Warm orangey reds with lighter oranges, yellows highlighted with bright blue for instance) or rhythm (getting into higher levels of art), theme; (Prairie, Cottage, formal etc.,), movement; (grasses are spectacular with this)...there are a few other categories but the point in making a composition (whether a painting, a sculpture, a home) is to chose ONE OR TWO of these categories to vary and keep the rest as uniform as possible. Keep all your trees the same except for the rare specimen tree...keep your hardscape all the same color (best and least expensive is dove gray), try to make your hardscape have something in common with the home's architecture and materials. The wood work should also have a common thread throughout your landscape. I hope this makes sense. These are but a few of the RULES we L.S. Architects are taught. Otherwise one ends up with a landscape that looks unprofessional and feels uncomfortable...if one cares.