Hydrangea tend to show you very quickly if they need water, so I would go ahead and water them if they are drooping. When you planted them, did you mix in a root stimulator (I use an organic one... I think it's from Espoma)? If not, it can't hurt to hand dig around the hold a little and mix some in. (Don't use the chemical ones, as they can burn the roots). And, mulch if you haven't already, but leave a few inches around the base of the plant so it can breathe! I also cover my hydrangea during the winter -- burlap attached to metal stakes works fine--don't trust these Chicago winters.