I would as a colicy horse may become shocky and extreme external temperatures can make this situation worse. In cold weather, blanketing a colicing horse so long as he isn't sweating under the blanket would be advisable.
When my horse coliced I never blanketed him... I think it was around room temp in the arena where we walked him... but I think you should keep him warm. The most important thing is to keep him walking!! And if he wants to lie down you can let him, just DO NOT LET HIM ROLL. No matter what, beat him with a broom to get him up if you have to.