Sunflowers have self-seeded. Will they last the winter?

Frost free I expect is required.

Some sunflowers are perennial and if your area is not too wet or cold it should survive. To assist remove all dead leaves and mulch.
The annual ones normally do not germinate until spring so I have no knowledge of how to treat autumn seedlings. Gut reaction is to pot them up and protect in a greenhouse.

If they are a single headed sunflower the seedlings should still flower this year Nov-Dec outdoors. The birds will be grateful and it is wonderful to have colour later in the season in the garden. When the huge sunflower produces seeds pick the head, pop it in a paper bag keep it somewhere dry for a fresh source of seeds that you can plant in Feb-April for next year.
Smaller annual or branch varieties you need to collect heads as soon as the flower dies off, pop the dead heads into a paper bag. Choose a dry day.
Poppies, viola, pansy, buddlea, sunflowers, lobelia are the easiest to start from your own seed with a 60% chance of germination. Plants for free. Good luck.