Depending on the size, if small enough you could firstly cover the ground immediately near the palm with any dry material (straw, twigs etc). Then push bamboo canes around the palm, say 2 to3 feet away from the stem. Finally wrap gardening fleece around the canes and tie so that the fleece doesn't flap in the wind.
For small plants, you can buy special bags to put over them, but as they are expensive, semolina's suggestion is probably the way to go, for larger ones, an RHS Gardens close to me wraps theirs in Hessian.