Covering your outdoor unit in the winter is not necessary. Air conditioners are manufactured to withstand the weather and generally are safe to leave exposed. Your unit is designed to drain water and rain helps to clear out debris and clean your unit throughout the year. Most service technicians find that vast amounts of service calls in the spring are because mice or other small rodents have chewed through wires inside the unit. This problem is escalated by covering a unit and creating a warm, dry area for rodents to live. However, if you prefer, it is acceptable to cover them.
Warning: It is never smart to cover a heat pump because they run throughout the winter and can become a fire hazard if covered.