If you use rose cones, be sure to secure them well. They are usually made of styrofoam or other light material, and the wind can easily blow them away. When you use cones, prune the rose canes only enough so the rose cones will fit over the top of the plant. It is best to remove the top of the cone or punch holes in the side to provide air circulation. Without this, heat can build up within the cone, causing moisture problems and promoting early growth.
Many people cover the canes with cones only.
You can give your roses more protection if you first mound soil over the crown of the plant and then place the rose cone on top.