In a word, yes.
UVA rays are present whenever there is sunlight. What are UVA rays?
The easiest way to remember is:
UVA rays = the part of sunlight that Ages your skin
UVB rays = the part of sunlight that Burns your skin
Winter sunlight may not be strong enough to burn your skin (or give you a tan) but it still affects your skin.
UVA rays penetrate deeper into the skin than UVB rays and cumulative exposure does contribute to the development of certain types of skin cancer.
Additionally, if you are using a physical SPF (like you should be!), it will work as a physical barrier against the wind and cold.
Find an SPF product you like and commit to wearing it 365 days a year!