Lots of good methods are discussed here on the forums, do a search to find the best method for your area.
You probably will need to mulch a good bit heavier than we do here for basjoo if you want to keep any of the p-stem alive. If you're not concerned about the p-stem, but just want to keep the banana alive in general, you could probably just put a few inches of hay/leaves on the surface and it'd be fine. Basjoo are pretty tough and can survive very cold temps. How much you want to keep above the surface is up to you - the methods I use always preserve as much of the p-stem as possible.
Edit - here's another good page with photos:
Protecting cold hardy bananas