I wouldn't overly worry about being wet in the cold, but a sheet is always a good thing to have on hand. Our guys stay out in all kinds of weather (except for our old guy) and they usually just use the run in sheds to get out of the wet/wind. If we see that they are really having a hard time, we'll put them in stalls. Usually we've only had to do this when it rains for like an entire month and doesn't stop, or if it's icy and dangerous. If he's usually an outside horse, he should be fine.