Answer: The most important things you can do for all newly planted plants, either spring or fall planted, are apply several inches of mulch as you have already done, and then make sure the soil stays evenly moist (not sopping wet) until it freezes. This way the plants will be well hydrated and better able to withstand the cold once winter hits in earnest.
The antidessicant sprays may be helpful, however a windy location is just not suitable for broad leafed evergreens in general. If your azalea is a very hardy and deciduous variety then it will have a better chance of survival. You might consider planting it elsewhere in a sheltered location out of the wind. An eastern exposure is often suggested for azaleas because they can receive full sun all morning and then be shaded in the afternoon as well as be sheltered from winter wind. Wind not only dries plants out but it can also cause as much as a zone of difference in winter's cold effects.
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