If he's already grown a nice winter coat, an insulated blanket won't be necessary.
I've heard that that wasn't true. I've heard that the hair gets all poofy, which more or less stores heat within the coat. And that the sheet will smash down all the hair, releasing all the stored heat. So essentially, a sheet won't be enough to keep your horse warm, and while it may keep him dry, it would in fact make him colder. Anyone can correct me if I'm wrong, but I read that somewhere on here, and it seems to make sense, at least to me.
Honestly, I think if you want to ride in the winter, not just a walk around the pasture but really ride, give your horse some kind of trace clip and buy him a good blanket. Ricci is trace clipped, with a good blanket. We work hard, and when she sweats, it takes less than half the amount of time to dry as it would if she had a full coat. I also never, EVER, ride a wet horse. In my opinion, that's just begging for irritated skin. I have a fleece cooler I can throw on, and a blanket that I can put on over it so she's still warm while the fleece soaks up the moisture. I also have access to a quarter sheet that I ride with on super cold days, like today, it was only about 30 F give or take a few degrees.
PS. If it's snowing, and you don't have an arena, it's extremely important that you make sure your horse isn't accumulating snowballs in his feet. It's usually more common in shod horses, but I suppose it could happen even barefoot.