They should be OK. Evergreen azaleas are easy to root and do quite well. Their weakness is they don't develop full cold hardiness for about 3 years. Hence it is a good idea to protect them the first 3 winters. Don't forget to water them occasionally. Even though they will go dormant, they probably don't have a good fibrous root system and can easily get into trouble if they dry out. It would be best if they were near a window so they would get light cycles.

Beanie, where are you? If your winter is harsh, of course give them protection.

In my climate (wet and gray), the cuttings would be fine outdoors, tucked under an evergreen like large leafed rhododendron, possibly moved temporarily into something like a clear plastic tote during a freezing storm, or with the pots sunk into the ground with a mulch over them.