Proper through the wall air conditioner winter preparation involves covering the outside and the inside of the wall unit. The outside should be covered with material that prevents the wind from entering your home.
This cover should be free of insulation, and it should fit tightly against the air conditioner. The interior covering should seal the vents, provide insulation, and look appropriate with the surrounding decor. Covers with reflective panels will provide the added benefit of reflecting some heat back indoors.
Covering a through the wall air conditioner will do a lot more than protect the exterior from harsh winter elements. There will be less need for the furnace to run and compensate for the heat lost through the openings around the air conditioner, and this translates into financial savings and lower energy bills.
Consistent covering each winter season will extend the life of a through the wall air conditioner, keep it clean, and keep it ready to be used once the warm weather returns.