There are several ways to prepare your roses for winter and which method works best continues to cause heated debates among rosarians. In my opinion, it doesn't matter which method you choose, just as long as it carries your roses through until next spring.
Mounding or "Hilling": Use fresh soil (or compost, bark, vermiculite, peat moss, saw dust, etc.) to create a mound of loosely layered mulch around the base of each bush. The mulch should be at least 10-12 inches deep. You don't have to cover the entire plant, but make sure the base of the bush is well insulated against the cold.
Gardeners in the coldest zones (6 and below) will want to take this a step further and cover the entire plant with mulch. You can do this quite easily by adding a collar around the bush made from chicken wire, hardware cloth or a tomato cage. Wrap the collar with cardboard, bubble wrap or tarp, fill it up with fresh straw and cover the top to prevent snow or rain from collecting inside. Keep the straw loose and the mulch porous to encourage air circulation and avoid smothering the roots and crown. This method usually provides enough protection for roses grown in zones 7 and 8.
Rose Cones: Another method is to add 10 to 12 inches of loose mulch around the base of the rose bush and cover it using a commercially available rose cone. These are usually made from Styrofoam and will need to be secured by some type of weight (rock or brick) to keep them from blowing away. If you're covering extremely tender roses, cut of the top of the cone and add straw for extra protection. It's also best to poke a few small holes in the sides of the cone to allow for some airflow.
Tipping: Here in Minnesota, many rosarians use a method we call the Minnesota Tip. The first step is to dig a trench. Start the digging away from the bush and work your way towards it. The trench needs to be long enough and wide enough to accommodate the entire rose bush.
Now using a spading fork, carefully pull the soil away from the area between the bud union and the main branching of the root system. You want to loosen the soil around the roots until you can bend or "tip" the bush completely into the trench. Hold the bush down into the trench and cover it with 2 or 3 inches of soil. On top of this, add 18 inches of loose leaves or straw. Around April 1st, gradually uncover the roses as the weather continues to warm up. By mid April, the roses can be lifted back into their upright positions and the canes syringed with water to prevent them from drying out.
Protecting Climbers: To protect climbing roses, remove them from their supports, bundle the canes, lay them on the ground and cover them with 6 to 10 inches of soil and mulch. Try to avoid cracking or splitting the stems when bending them.