While global warming may eventually make cold weather in the southern US a thing of the past, for the time being the occasional period of freezing weather will just have to be endured. Citrus trees are extremely vulnerable in cold weather and even the hardiest will need a little help surviving winter's bite.
For young trees under four years of age, the most effective method of cold protection is to bank the trunk up to a height of about 15 inches with clean soil. Soil is a surprisingly good insulator and can provide up to 15º F protection. It is also a good absorber of sunlight so make sure to remove any mulch or other material covering the soil. Bank your trees in the fall before there is a chance of frost and remove the bank in the spring after the last chance of freezing has past.
In the case of older but still reasonably small trees, polypropylene covers or even lightblankets or quilts are an option. Simply drape the material carefully over the branches. If the freeze is extreme, several light bulbs can be placed beneath the cover or even a small heater. However, use extreme caution when placing any heating source under the cover. Heat sources should be kept away from both the tree and the covering material. A good option is the TreeHelp Cold Weather Blanket.
If your tree has reached a size where a cover is no longer a realistic option, prepare for freezes in the following way: First, clear the soil around your tree of any mulching material to allow the earth to absorb sunlight. Several days prior to an expected freeze, enhance the heat absorption properties of the soil by irrigating the tree and the surrounding area.
A final option is sprinkling your tree with water during the freezing period. Place the sprinkler over the tree and begin sprinkling before the temperature drops to 30º F. The ice formed from the water will provide your tree with a degree of protection. However, you may have to accept breakage of branches due to the weight of ice formation.