Rhododendrons and Azaleas should be well-watered as they go into their dormancy period. During "normal" rain conditions you don't have to do anything. However, if the Fall season is dry, continue a regular watering schedule and soak the plants one last time around Thanksgiving.
Use mulch on top of the root ball to help conserve water loss and as an insulating medium when the weather gets really cold. If you don't use mulch, you run the risk of "winter burn". This happens when the ground is frozen but the air temperature is not. The leaves start to lose moisture, call downstairs to ask the roots to send up some more water, but because the water is frozen, it doesn't get up to the leaves. The leaves dry out and turn brown on the tips.
Oak leaves, pine bark chips, and composted hard wood chips are good materials for mulch. Do not use hard wood chips right out of the chipper because as they break down they will pull nitrogen out of the soil. 2-3" of mulch is more than adequate but be sure to pull the mulch away from the trunk of the plant to prevent the little gnawing beasties from dining on your plant while sitting in a nice warm and cozy mulch pile.
Winterizing Potted Rhodies
Ok, you forgot to plant something. No problem. Find a protected spot on your property away from wind, direct sunlight, and where the rain water does not collect. Rain is good, collecting in pools of water is not! Either dig a hole and put the pot in it or mound up leaves and mulch around the pot in such a way that the winter winds don't blow the mulch away.