It couldnt hurt provided you remove it immediately after the storm is over and you would need to use something substantially stronger than kitchen grade wrap. Think industrial pallet wrap and a LOT of it definitely a large expense and a mountain of work for a questionable level of protection.

Practically speaking though it could prevent a lot of minor storm damage and prevent it from becoming large damage, would definitely protect the windows to some degree and secure items so they dont get ripped off the house.