How and when
Timing is the part people get wrong. Sow too early and the plants get large and soft before winter, then rot or get flattened. Sow too late and they do not make enough root to be worth it. The target is small, sturdy and well rooted going into the cold, which in most places means roughly six weeks before your first hard frost.
Two ways to do it. In the ground, straight into a prepared bed, which is simplest and works where winters are not severe. Or in module trays kept somewhere cold but sheltered, a cold frame or an unheated greenhouse or just against a wall, which gives you far more control and is the safer option if your winter is genuinely hard.
Either way, keep them on the dry side. The thing that kills fall sown seedlings is almost never cold. It is sitting wet in cold, which rots them at the base, so drainage matters more than protection.