John
The secret to winter protect is buying the right roses for your zone and properly planting grafted roses so the bud union is 4-6 inches below the soil surface. Most of mine are on their own roots and those that aren't are planted deep enough so they developed their own roots.
I'm also in zone 5a and only lost 2 of over 400 roses this past winter. Both were hybrid teas, Taboo and The McCartney Rose. all my others are hardy shrub types including many hybrid rugosas and Canadian roses.
All I do is let Nature blow leaves at the base of the roses. I help a little when I mow in the fall. I aim the discharge chute at the rose beds so fallen leaves are blown at the bases of the roses.
Rose cones will work but it would be better to have shredded leaves inside them and cut the tops off.
Too bad you don't live close to me as I have about 40 of them free for the taking.
Planting hardier varieties would mean no winter protection needed.

I don't do any winter protection anymore. I plant my roses deep and let the mulch drift around them. They die to the ground, but they grow back in the spring. Any that do die get replaced my roses that will hopefully be hardier. I've got about 60 hybrid teas and lost 7 this year. I think two died to the very wet spring as they were next to each other in a wetter spot than the rest. One died because it wasn't planted as deep as it should.