If you roast whole beets with the skin on, just put them into cold water and the skins should slip right off. I usually boil mine, skin on, and then put them in cold water. We grow our own beets, and little fresh ones are a delicacy imho.
I can them both plain and pickled, and I have a recipe for an awesome beet relish - ground up and mixed with ground up cabbage and vinegar and spices. It's excellent with pork and chicken. But I digress.....