Citrus trees are subtropical to tropical trees, which generally means cold weather will kill them if they are exposed to low enough temperature for a long enough period of time. Some citrus trees like lemons are especially tender and cannot be exposed to freezing temperatures at all. One of the easiest ways to make sure your citrus tree is not nipped or killed by frost is by protecting them before the frost occurs.
Wrap the trunks of the tree with some sort of insulating material. You can use brown paper, burlap, blankets--anything that will keep the cold temperatures out. Use a tarp or blanket to cover the top of the tree and let the sides hang straight down to the ground.
Pull away any mulch on the ground that might keep the heat of the earth from rising into the tree. You will want to collect every bit of heat you can. Secure the sides of the tarp with twine or string tied off to a stake set into the ground around the perimeter of the tree.
Set up a light with an incandescent bulb under the tree, as close to the trunk as possible without touching it. The heat of a 100-watt light bulb will provide enough heat during the night to ward off freezing. Christmas lights are another option if you want to wrap the trunk of the tree with them and then switch them on in the evening.
Water your tree before you are expecting a frost. The heat in the water will warm the tree and might be enough to protect it from a quick frost. The moisture in the soil will also hold more heat than dry soil.