First make sure the plant is properly mulched. The mulch helps buffer the root zone from extremes in temperature, preventing frost heave and bark split. It also protects it from the drying effects of sun and wind.

The main problems in winter are wind, sun and drought. If the plant is hardened off, not just brought out of a greenhouse and planted, then is should do OK without much protection. If it is in full sun and full wind, then it is best to protect with something like burlap with an open top. Just use the material to protect the plant from the sides, not the top. Leave the top open.

If you have a very dry winter and the ground thaws out, water the plant. This will help keep the plant from drying out.

One product that can be used, especially on recently transplanted plants, is the antitranspirant Wilt Pruf. It needs to be reapplied in mid-winter.

Good Luck!

Here is a link that might be useful: How to care for rhododendrons and azaleas.