The southern exposure in winter is perfect. Again, expect some degree of rest during winter but the plant should not go totally leafless, especially with strong light. It would enjoy some outdoor sun in the coming months... warmth and light are both helpful. I don't think blazing full sun is the way to go, though. About half a day of direct sun probably would be best. Maybe 3-6 hours, in that range. An acclimation (over the period of weeks) will be helpful as you have noted.
This plant should enjoy roughly the same care as a crown of thorns plant (E. milii/hybrid) and can take a little extra water during the summer months. So summer rain is probably just fine unless it goes on for days and days on end. The wind may be an issue if you get strong gusts, because that leafy top part of the plant will act like a sail if the bottom part is not firmly anchored. I keep my Euphorbia in a position by a wall which blocks most of the prevailing winds.
