I've use castor cups to protect the floor and they work well. I googled piano castor cups and came up with several links that have them---one is below to show you what they look like--or your local piano/music store may sell them as well. They come in several styles and materials. Ours are extremely hard plastic and can have felt on the underside for hardwood.

Here is a link that might be useful: Castor cups

I bought mine at Linens 'n Things. It's like a little cup with a plastic bottom that the caster sits in. I can even move mine around on my hardwood floor with no dents or scratches. I will say that I did nave problems with the plastic floor protectors that you put on the bottom of the furniture and it did scratch our new hardwood floors. I've had much better luck with the felt bottoms.

I hadn't even thought of this issue. My upright piano has been sitting on my hardwood floors for at least 2 years. I can't see any denting, but I'll get castor cups now just in case.