Raise the statuary off the ground if possible, placing it on two pressure-treated boards or wooden strips. The less contact the statue has with the ground during the winter, the better. Wrap the cement statuary in burlap or old towels and then cover the whole thing with black plastic. Seal all the gaps and seams of the plastic with waterproof tape.
Build a wooden framework for the cement statuary. This framework needs only to be as tall as the statue and a large enough square to fit over the bulk of the statue, and will resemble a cardboard box. Cut two 1-inch 4-by-8-foot plywood sheets in half and nail them together in the shape of a square. Attach an additional 1-inch 4-by-8-foot plywood sheet to each corner of the square, so the structure will stand up. Wrap the sides of the wooden framework with black plastic sheeting, sealing the joints and crevices with weatherproof tape. Stuff the interior of the framework with straw, old cloths or burlap to provide additional protection. Cover the top of the framework with more black plastic, sealing the joints with weatherproof tape.
Store cement statuary in an indoor space, if possible, where winter weather won't be a threat. This is always the best option.