If you decide to store them this is my advice: Firstly, I would try to keep them coolish 40 to 50 F, but above freezing; so if you had a cool garage or basement I would definitely keep them there. Secondly, it's imperative that the roots don't dry out, so putting them in a pot with damp soil could help with this.
Given these two things, I think some light would be helpful; but I don't know how much, four or seven hours maybe. It depends on the temperature. The problem with this approach is that the plants might start forming fine feeder roots that are destroyed in transplanting.
In light of this my temptation, is to say "Just plant them where they will end up, then mound some light mulch material or potting soil until it pretty much covers the canes." Then, when danger of frost is nearly gone, pull or wash the mulch or potting soil away from the roses. I think this might be what I would do... There is a higher risk of losing the roses; but if they survive I think it will do better this season.
Which cultivars are we talking about, BTW?