Most of the winter flowering salvias do not like frost, so that is the first thing to take into account. They are often large plants around 2m so are bulky. Usually they will tolerate to minus 2C.
Often you can get round frost by planting close to the house or in sheltered spots and it will also depend on the year. If you are not sure try getting a cutting going in a pot as a backup!
There are a few salvias which flower an extremely long time and can be flowering in winter as well. Some might be flowering because they are young and only started flowering in autumn so will keep going that winter but maybe the next year are in their normal cycle and stop for winter. It is helpful to know what your minimum temperatures get to.
This is not a comprehensive list but will get you started:
Some that start in autumn and will go into winter, depending on frost, madrensis (yellow), involucrata species (pink), longistyla (wine coloured), leucanthas – various colours these are a medium height about 1.5m, can flower most of the year in warm areas, van Houttii (wine coloured), elegans – pineapple sage, red, ‘Golden Delicious’
These are winter flowering: Involucrata x karwinskii ‘Winter Lipstick’ (pink), ‘Timboon’ similar to ‘Winter Lipstick’ but a bit more compact in size, wagneriana (pink), Pink Icicles, fallax (pale blue), Bluebird (pale blue), dorisiana (pink) late winter and more tender than most, karwinskii, iodantha (pink), purpurea (mauve), Costa Rica blue, concolor (blue), disjuncta (red), rubiginosa (blue)