If your roses were grafted, be sure the grafts are covered for the winter with mulch or soil (or perhaps you planted them deep enough to cover the swelling). Most Austins and long-caned Bourbons are hardy in z. 6, but there's no sense taking a chance on an ultra-cold winter. If the graft is frozen, the plant is ruined.

Otherwise you don't have to do anything. Stripping off the leaves after dormancy and raking up the fallen leaves may reduce transmission of disease into next season. Applying a layer of fresh mulch as soon as growth begins in spring is also advisable. Dormant oil sprays are for mites and unnecessary if you don't have that problem. Some people spray the dormant canes with lime sulfur around pruning time as a fungus control measure. This material is somewhat toxic/corrosive and should be handled with care.

You might want to give them a nice spritz of Wilt-pruf, which is a pine-resin-based product. I think it has given my HT's a bit of an edge against the winter.