I haven't until last winter, they've been under snow before but it didn't stop raining this year so I lobbed a cover over them. It's the wet that rots the roots, they can put up with a bit of frost
They can handle a lot of water as long as it drains well. It all comes down in one sheet in the desert quite often so they have to drink as much as they can all at once
I watered the outside bed as it hasn't rained for a month now, noticed the Opuntia pads are quite fat with water so it must have its roots right down into the ground by now.