All of the advice so far is very good. From my own herb growing experience, the rosemary, mint, sage, parsley, and oregano can overwinter even through snow if properly mulched and are essentially perennials even in zones 5 and 6.

The Thyme, Marjoram and Dill are all more tender and a real hard frost on any can kill them. Avoid this with a blanket, mulch, straw etc.

The rosemary and the bay are really woody plants and probably deserve ultimately their own space. (See earlier comments.)

Good luck! Nice selection to start.