We might blanket in the fall if it gets really stormy. Here on the west coast the wind and rain will chill you to the bone. Other than that we don't bother, they have free access to their stalls. Plus we don't ride in the winter so cooling them out isn't an issue for us.
My pony used to grow a super thick coat, so we never blanketed him. In fact, we tried one on him last year, and he HATED it. He kept trying to pull it off. :roll: Haha. So I'd say, try without it if he gets fuzzy enough.