Dear Sherrie, Knock Out Roses should be very winter hardy in North Carolina as they survive Northern Illinois winters with little damage most years. Pruning them back to a uniform size or at least deadheading them to clean them up and cleaning up the fallen leaves that could harbor rose leaf diseases would be helpful. If you have sufficient cold weather to put them into dormancy, watering them well before that so the crown and root system are well hydrated will also be helpful. You would not need to mulch them or cover them.
Hope you find this information useful, Richard Hentschel