Certified GKH Gardening Expert
Many people don't realize this, but sagos aren't actually palms at all but cycads. These plants are extremely hardy, surviving both heat and cold well. In fact, during summer the plant tolerates drought-like conditions while in winter it is cold hardy to 20 degrees F. So unless you experience extremely harsh winters or it's located in excessively windy areas, there's little you need to do over winter. It should handle the cold just fine. In fact, the plant may only exhibit slight browning from the weather, but this can easily be remedied through pruning.
However, if you're prone to bad winters, you may just want to place the sago in a container instead. It can still be left outdoors but should be brought inside or wrapped during winter.