I live in FL so year round fleas/ticks preventatives are a must. I don't know how winter affects those parasites. However, for heartworm, I wouldn't when it reaches below a certain temperature. Heartworm preventatives are not really preventing heartworm from entering but a pesticide that kills the worms presently in the body from the last transmission. Read more about it here:
Are drug companies honest about Heartworm?
Of course, you take that risk with your dogs if you stopped on the heartworm. For me, the dogs get a dose every other month year round, and never on the same day as the flea preventative. So far, so good.