I live in Virginia and built a wind mill using a bike wheel. Do I need to remove the wheel so the cold weather won't destroy the bearings?
It doesn't really get all that cold down in most of Virginia that you have to worry about the cold/do special preparation for the cold for a bike.
So, I wouldn't worry about it. Also, you're not riding the wheel, so if the bearings aren't in perfect condition it isn't the end of the world anyway.