I make a big pile around each rose plant, as high as I can get it to stay put (or as high as I have time for raking and gathering, anyway). The pile compresses over the winter, of course, but it helps protect the roots from the cold. Then in the spring I rake the leaves (or most of them, anyway) and put them into the compost, along with weeds which I've pulled and broken or cut.

If you have to spend money on those bags, you might find that some neighbors would be happy to have some of the bags emptied and returned for re-filling? Depends on the neighbors, of course. And most people are happy to have somebody else rake their lawns.

You don't want to be digging things into the ground too close to a rose plant, especially in the fall--you don't want to damage their root systems. But they're very happy to have already-composted leaves tossed on top of their roots.