Snow is good winter protection, the more, the better.

Snow is all the roses should need. It also has the great advantage that when a thaw comes, it automatically removes itself, so wet, cold stuff isn't around the roses to encourage fungal problems.

If you live in an area where temperatures below 20 without snow are practically unknown (like where I live) fancy cages are a lot more trouble than they are worth.

Michael and Mad are both right, snow is the best insulator there is for a rose. However, if you want to protect the existing canes from wind damage you can still put the cages with the covers over them without disturbing the snow cover. The snow will protect the graft at the bottom and the cage will protect the upper canes. It's not fool proof but it can help.