Do not mistake the normal wilting action caused by extreme cold as an indication of a problem. It is normal and will go away when milder temperatures return. In fact I would be much more worried if the leaves didn't curl up. Curled green leaves are a sign of a healthy azalea plant on cold days in winter.

If we have an unusual spring drought, don't hesitate to water. However, spring droughts are very unusual. In general it is better to keep azaleas on the slightly dry side and never on the wet side. Good drainage is essential for healthy azaleas.

Here is a link that might be useful: Henning's Rhododendron & Azalea Pages