Yes, you should continue to water sod in the winter, especially during cold and windy days. Here are some tips for watering sod in the winter:
Water the sod thoroughly right after it's laid. You can check if it's watered enough by walking on it—if you leave deep footprints, it's been watered enough.
Keep the top two inches of soil moist with about 0.25 inches of water per week.
Water more frequently on cold, windy days when the sod can dry out. Skip watering if temperatures are below freezing because the grass can't absorb it. Regular watering prevents dry roots, which can be especially important in cold, dry winds.
Don't fertilize dormant grass in the winter because it won't be absorbed. Wait until spring when the grass starts to green up to apply a starter fertilizer