He Glendaken and welcome to GoY. Simply remove it when you plant them.

If you mean the waxy, greenish coating on the stems, usually near the top, don't remove it, just plant the rose as it is - it isn't plastic, its wax based, used to stop the stems drying out, and it will weather away once outside.

If, though, you mean some sort of plastic wrap around the roots, yes, do remove that, as Moon Grower says.