If your trees are well-established, with thick, corky bark, you shouldn't need to wrap them. However, young trees with thin bark are more susceptible to winter sunscald and frost crack, and may benefit from tree wrap. Some species that are particularly susceptible are maples, apples & crabapples, lindens, and cherries.
Use tan Kraft paper wrap, available from garden centers. Begin at ground level and wrap upward in a spiral pattern, overlapping each round so that water sheds off the wrap. Continue wrapping the trunk up to the lowest branches. Secure the top of the wrap with masking tape.
Be sure to remove the wrap in late winter or early spring before growth begins to prevent moisture from building up behind the wrap. Excess moisture can lead to disease problems on the trunk.