I used to have to shake snow off my roses occasionally, in Salt Lake City when it would snow early in October. But I also had roses blooming in early December there some years, because my rose beds were on the south side of the house and very protected - at least a zone or two warmer microclimate.
So Tisha, it's really going to depend on the weather and how exposed your rose bushes are when the weather cools off. You don't really have to wait for every leaf to turn or fall off, but the later you can leave it and still be able to dig easily, the better for the plants.
