John, I'm in zone 6. Hopefully, when you planted the rose bushes you planted the bud union 2 or more inches deep. Several years ago, I started pruning in the spring vs late fall and I don't lose as many roses. Good luck and wishing you the best and a mild winter.

The straw will definitely help so if that's all you're able to get on go for it. I agree with Kentucky rose, don't prune them in the fall. Wait until spring. A lot of roses aren't as tender as people think and you'll probably be surprised next spring at how well they did.