Loosely wrapping evergreens should be done in November( or early December when fall stays warm) since their still living leaves need light and air circulation.
An alternative that lets in light and air is to tie branches with an open netting or rope wrapped in a lattice pattern.
Drying wind and sun exposure on the south and west sides can be a problem in winter. If this has been a problem in the past, screen the south and west sides with burlap attached to posts and set about 1 foot from the branches. You can set the posts now, and wait until November or December to attach the burlap. All protective materials are then removed in spring.
See the 'winter desiccation' and 'ice and snow damage' sections in these articles describing winter protection---
If your trees are in containers, protection is a little different---
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