Do I actually wrap the plant or do I need to keep the burlap off of the plant?
Wayne County Michigan
You can either wrap the plant with the burlap, or use the burlap in combination with posts to create a windbreak. Wrapping the plant not only provides protection from the wind (drying), but also provides support for the branches when snowfall is heavy. It's important, however, to remove the wrap as soon as the weather warms, or the plants will overheat. Setting up a screen or windbreak to block the prevailing winds gives you less snow protection, but more flexibility. Since air circulates around the plants, overheating in the spring, or during a winter warm spell, is not as much of a concern.
Additional steps to help your arborvitaes through the winter include continuing to water them until the ground freezes, adding mulch around the roots, and setting up a screen to create a barrier between your trees and any area that is likely to be heavily salted in inclement weather (sidewalk, street).
If you're interested, here is some additional reading on this topic:
My own experience my be different than yours, but I've had branches on my Emerald Green arborvitaes bent (not broken) by significant snow load. By the time went out to tie them back in place in June, they had recovered on their own.