Winter damage is a common problem for Holly growers.
Since you have had issues each year, I would certainly go ahead and use a
anti desiccant spray.
Follow the directions on the solution.
Also creating a barrier from the wind will help. I don't recommend wrapping the Holly tightly; rather create a circle of burlap around the plant using posts. Leaving space between the burlap and plant allows air flow and the plant won't heat up when the sun shines.