Unless your ground is still frozen or is under a foot of snow, I would go ahead and plant them outside in their permanent place. Cut the canes down to about 6", take off the green growth, and mulch them completely. Water really well. That way, they'll get the light they need, and they can take their time growing and putting down roots. Frost isn't a problem at all. Canes and roots drying out IS a huge problem, so if you do keep it indoors, make sure you water it. Soak the rose completely before planting, and I would shake the nursery soil off the roots. I've done that both ways--leaving it on to preserve small roots, and taking it off to let the roots have better contact with the garden soil. Up to you.
Another issue with keeping the rose indoors is, it will have spindly growth that won't be hardened off when you do plant it out.
Where I am, we deal with hot spring winds, so I want the roses to be tough before the heat comes. If you have long gentle springs, it may be a totally different situation. Hope that helps! Each region is a little bit different, so sometimes you have to experiment a bit.
