Do protect it the first winter. Like all boxwoods (being evergreen), they are vulnerable to winter sun. Plant it where it will be shaded for most or all of the day in the winter, especially from south and west sun.

Expect some winter burn the first winter (especially March when the sun is strong and the ground often frozen). If you want, you could wrap them in burlap the first winter, or just the first March would be enough. Boxwood should really be planted in the spring. In any event keep well watered.

The sun is very intense in the early spring month of March, and the sun's reflection on a pristine March snow is especially hard on new boxwood. This will proabably prove to be the most difficult time. But a "fresh" boxwood going into this trying time would more likely survive than one that has already been worn by dimmer winter sun and wind. I would still recommend protection the first winter season. Green Gem is not the hardiest of boxwoods, but should do fine if conditions are good.

Wrapping is fine, but I prefer a simple burlap fence, especially on the south and west sides of the plant, and perhaps angling just a bit over the plant too. (March sun is much higher in the sky.) A simple way to accomplish this is to use an upside-down tomato cage as a frame. Don't cover the top: you want snow to get in, and heat to get out. Be sure to secure the tomato cage so it doesn't blow away. Mulching, of course, is a good idea.