"We're still trying to figure that out," manager Mike Redmond said.
Left-hander Mike Dunn could be a main candidate, and Carlos Marmol previously closed with the Cubs. A.J. Ramos is another possibility.
"Dunn could close games," Redmond said. "I'd have no hesitation putting him out there. You take a guy like Marmol, that's been his role. He obviously has had a lot of experience closing down games. He has a ton of saves in the big leagues. That would be a natural fit for him, too."
Marmol has 117 career saves, while Dunn has just three, with two in 2013. Marmol had an impressive 1 1/3 innings of relief on Wednesday against the Braves. He didn't allow a hit, and needed just 10 pitches, nine for strikes.
From the sounds of it, Ramos may be more suited to set up. Marmol also was signed to set up, but he does offer a closer option.
"Dunn can match up against lefties and righties," Redmond said. "I'd have no hesitation putting him in any big situation."
Joe Frisaro is a reporter for MLB.com. He writes a blog, called The Fish Pond. Follow him on Twitter