Chelle: I defer to those more knowledgeable and more familiar with gardening in colder climates, but my inclination would be to (A) wait until you know the rose is dormant and prune back just to avoid having the canes whipping around in strong winds and (B) do more severe pruning come spring. Another alternative might be to secure the canes over the winter so they're not being punished by harsh winds as well.
I confess that in our warmer zone, I have been doing judicious pruning through the fall, but nothing severe. I leave that for spring cleanup.
