I also live in zone 5(b) (front range). Because of the risk of cold weather, I could never plant my dahlias outside before mid-May.
I started my dahlia tubers in pots last year but did not wait 6 weeks to transplant. I think you should definitely start them in pots. Your plants will get a much later start otherwise and you might not get many flowers before your first frost. I'd have the pots and potting soil all purchased and ready to go when they arrive. If you've never done dahlias before, you do need rather large pots.
I use these 1/2 Gal. Plastic Nursery Pots I bought on Amazon. They are a little tight, but my dahlias aren't going to spend much time in them anyway. https://www.amazon.com/dp/B00L2D67U6/ref=cm_sw_r_apan_i_7NJ560RFEH0HHKR1NJPK I have 100 of these pots, and I might get to use all of them this year since I have many many saved tubers and some purchased tubers on their way. We shall see...
You might be able to use plastic or cardboard milk containers to start your dahlias if you make plenty of holes for drainage.
Like I said, I'm in the "start them in pots camp"!