I prefer to cover the roses with peat moss. I read that it is best to add the peat moss a bit at a time once the ground freezes. Sometimes I put a bit of mulch on top of the peat moss to keep it from blowing around, but keep the mulch away from the canes.
Did they have a lot of new roses at Home Depot? I haven't been there in a while, but only saw sad knockouts during my last visit. My neighbor would get a kick out of a rose developed by Harley Davidson - maybe Smooth Buttercup, the yellow floribunda, if they have that one. (checked out the smooth series on hmf and the atf rose database). How cheap were they at HD?