No problem. You can plant anytime the ground is not frozen. Be sure to mulch well. Also, keep an eye on it this winter. If you get frost heave, you need to put it back in the ground. The fall is the best time to plant, but the down side is that you will be more susceptible to frost heave. A good mulch layer should prevent this. Especially if you mulch after the ground freezes.

Here is a link that might be useful: How to care for rhododendrons and azaleas.

Thanks, rhodyman it is good to get reassured I will mulch after the ground freezes.
Peter