Certified GKH Gardening Expert
You don't have to, but since this is their first winter, it does not hurt. The first winter a plant goes through after being planted is always the most dangerous for the plant because they are only marginally established and sometimes this can make it hard for them to survive the stress of the winter. Covering them with burlap and/or mulching the base heavily will help to protect your investment. After the first winter though, most azaleas do not need to be protected.