If it is something that is cold hardy and still dormant it is better to plant it now if you are talking about upper 20's kind of freezing weather.

You can mulch it real good and/or cover the small tree with a pile of leaves or something if you are really concerned about it.

A bigger concern is not to let the roots dry out or freeze. If the roots are in the ground they won't get nearly as cold as there air temperature. The ground is an enormous thermal reservoir. Also its better for the trees to be a little cold than to be too warm and break dormancy before they are planted.

If you don't want to put them out, put them in an unheated garage or shed or something. Make sure the roots are surrounded by a damp medium.