Question
I have purchased a few Knockout roses this year and have had many opinions of how to take care of them for winter.  I live in a 5a zone.  I was wondering if I should wait till the temperature is in the teens to cover the rose with a rose cone, or the before the first frost?  Also do I even need a rose cone?  Thank your for your assistance in unraveling opinions and shining the light on finding the truth.

Answer
Knock Out roses are hardy to zone 4 which is much colder than yours. I always feel that if a gardener buys a hardy rose then they should treat it like a hardy one instead of making it into a tender rose. I you mound up the base of your roses with either soil, compost, bark mulch just about anything that will protect the roots, the rose should go through the winter with no problems. What kills roses in the winter is the fact that they have not been allowed to normally harden off. In your zone it is a wisdom not to give a rose any fertilizer after the middle of August. Then the rose will normally start to harden off the canes. By doing this the nasty winter winds will no be able to dry out the canes because they now have tough bark on the outside.
However if you want to cover your rose with a cone, then you should wait until the rose has dropped all it's leaves and is ready for the winter. This is done after a couple of really hard frosts. A hard frost is one that freezes the soil solid. If you put the cone on too early,  you are making a greenhouse for the rose which may, if it doesn't get cold quickly, start it into new growth which will be killed during the winter. Cut the rose canes back to fit into the cone. Then in the spring when the weather doesn't have anymore hard frosts, for about a week, remove the cones during the day and replace at night. This way it won't be a shock for the rose coming out of the cone.