I've only done it once but I had a cutting I'd stuck in the ground like that late in the year and didn't want to disturb it. So I took an old flower pot and cut the bottom out of it and turned it over the top of the cutting then filled it with shredded leaves. I pushed soil up around the outside of the pot to hold it in place too. It worked fine for me and the rose took off the next spring.

yes just add chopped leaves around the cuttings. You could use Styrofoam to make a box around them, then fill it with leaves.