Leaf bags will work, but last winter, just to take it up a notch, I also applied a plastic bag as well as tarping materials for further insulation before adding the bags, and it seemed to work great, on one of them. The other one pushed a leaf through, puncturing the bag, leaving the plant exposed to freeze and die to the ground so it looks like having a solid barrier like a bag around the banana is pretty important.
Here's the blog on it.
Steve's garden: Uncovering the Musa basjoo