I'm using both leaves, pine needles, and burlap around the roses I have. Sounds fine to me. Protecting a rose is meant to keep the rose frozen and dormant during winter, not keep it from freezing. The freezes and thaws of spring are what really kills a rose, not the freezing temps of winter. So I would use what you've got, the cones, the burlap, and the peat moss.
I also wouldn't prune the canes down now, that should be done in spring when the forsythias bloom.
Have you watched the you tube video from Ashdown Roses (excuse me, from Paul Zimmerman roses lol) about training climbers? See the link below:

Here is a link that might be useful: Training a rose on a trellis

kentstar's advice is good.
Winterizing roses starts when you choose and plant your roses. In our zone 5 choosing hardy shrub roses or planting the bud union 4-6 inches below the soil surface begins the process. There are also hardy climbing roses that are much better blooming than Blaze. Many "hardy" roses will experience dieback in winter but come back strong with new growth each year. Keep in mind, modern repeat blooming roses bloom best on new growth. Protecting the healthy mature root systems is most important.
I have 400 roses with over 40 climbers along with 30 tender hybrid teas. I use nothing more than oak leaves at the bases of my roses. Last year I lost two but they were weaklings anyway.

Thank you for great advice !

Kentstar, so it's ok for the rose to freeze? How do the spring chills kill the plant?
I have not watched the video, but will (on the phone now), thank you for that!!!
Now, in what order should I do leaves, burlap and cones? I was thinking I'd wrap the plant in burlap, hill up the bud union area and then do leaves and a cone? Is that about right?

Karl, 400??? WOW!! I'm beyond impressed!!!!

See, I'm new to gardening and didn't know any better when I planted the roses, so I followed instructions on the plants and I believe that ALL my bud unions are above the ground... Now, of course, I would plant the right way for our zone, but what's done is done.. So tell me, do my roses have a chance? What extra things should I do to protect the bud union?

lyoshka, sounds right to me.
It's actually the freezing and thawing that take a toll on the plant. The ups and downs of spring. One night you might have a warmer one with temps in the 50's or even 60's, then the next night you might have temps in the 20's. That's tough on them. The warmer temps can cause potentially new growth to start, then the night gets real cold and the "new growth" can get zapped by frost or freezing. You're just trying to keep the plant from producing new growth until the wild temperature swings are done for the season. But, that being said, that doesn't mean that you need to wait until ALL chance of frost is past for roses. In my zone, April is a great time to plant roses, and believe me when I say that there still are a lot of chances then of frosts in NE Ohio! lol
You just want to make sure that you are uncovering at the appropriate time for your zone, and you can remove the mound graduallly to help the roses adjust to coming out of their slumber.
I don't know where you are located, so I can't be a help there. You should put your growing zone by your member name or ID. And, maybe your general area. Zone 5 (my zone) encompasses a lot of area in the country. Zone 5 Colorado is completely different than zone 5 Ohio.

Sorry lyoshka, I just noticed (duh) that you put your zone 5 on there!
Again sorry bout that. I have been up since 2:45 am and had to work from 5 till 1 pm, then come home and make 3 pies for tomorrow, and I'm not all there today lol!

If all your bud unions are above ground, hill soil or mulch on them to cover. Those instructions on the plants are generic for the whole country and don't take into consideration any special needs for growers in colder climates. The last few years the consensus among cold climate growers and newer recommendations from the ARS is to plant the bud union 4-6 inches deep in cold winter zones. My hybrid teas are planted that way and have survived with nothing but oak leaves at their base for the past 8 winters.
Don't dig up what you have planted but plant them deep in the future. A plastic collar, landscape stones or landscape timbers around a bed, if the bushes are planted close enough, or the individual bushes and filled with soil over the bud unions will serve to protect them.

Kentstar, thank you, the explanation makes sense. I'm in Chicagoland, by the way, about 40 miles directly west of the city.. so we should be on about the same latitude?

Quick question to both you and Karl( I really hope I'm getting your name right lol)..
when you say to put the rose cones around the base and to NOT trim the bushes now...are you saying then to pretty much cut the cone top off and let the branches spill out the top and just fill it in with soil/leaves?

fyi, I did cut all the roses to the cone height (before you two came to my rescue), so I hope I didn't murder them. Also, my one climber which grew like crazy, but was not trained.. i cut it down, too. I want to train it right come next spring. REALLY hope i didn't kill it by doing that.

The video on training was GREAT!! Exactly the type of info I am looking for!!! THANK YOU!
HAPPY THANKSGIVING!!

You're welcome. I love his video's all of them. Paul has many other videos that are excellent in my opinion. I'll be referring to them often.
I did the same thing to my climbers when I first started out. Not the ones I have now, but my first ones. I cut them all down in fall before I knew better. Just mound them and mulch well.
Mine were still ready to grow again when spring came. There was lots of new growth happening. So, I'm sure you'll be ok. Keep us posted in spring then.
I don't have the same ones now, only because, as a total newbie I didn't realize the ones I got were prone to Black spot all over the place. I chose to shovel prune those and go with some more hardy and disease resistant ones. I now have William Baffin and Westerland for climbing roses. While Westerland isn't as hardy by far as WB, she is very diseasee resistant. I will have to protect her though. And will have to learn my self how to train her lol. And William too! lol
I have more clematis and perennials than I do roses, but I think those two and my hybrid tea Maria Stern are enough. I just planted this past summer, Sweet Autumn clematis, which should be VERY interesting to see what that does next spring! I hope it grows so large that it covers my hedges.

When I had all tender hybrid teas I covered them with styrofoam boxes built over the beds. Any in areas I was not able to protect that way were tied together and covered with rose cones with the tops cut out and the bushes sticking out of the top. I stuffed leaves into the rose cones.
{{gwi:342167}}

Bumping this up.... Spring here now and I'm wondering when I should remove the cones? It's 40s here during the day (60s this week) and high 20s- low 30s at night. Don't want to kill my plants with frost, but don't want to keep them under wraps more than I should. help?

Also.... once the covers come off... what do I do? Prune? leave them alone? fertilize?(pretty clueless here lol)

THANK YOU!