If you throw a black garbage bin over it, it should be enough protection for an average winter. Once it outgrows the garbage bin in a few years it is probably old enough that it wont need protection anymore. I've seen a few small needle palms at the Central Park Zoo and there are some others around NYC public gardens (I actually have yet to see one planted at a home garden in the area even though I have seen Trachys, Butias, and Sabal minors).
I lost a small needle palm to a low of 14F in 2009 because I got my palm from Lowes and the big box stores are known to sell cold tolerant palms that do not actually see cold temperatures which makes them more susceptible to cold damage for the first 3 years or so.
-Alex