I have three and I dont protect mine.

You're right to be concerned - these do need a bit of protection in their first year, and it would have been much better to plant it in Spring rather than now. It's easier to move it around to sheltered spots or out of harsh weather in a pot, so I'd pot it up into a larger pot than it came in and do just that and plant in spring instead, keeping it in a sheltered, southfacing position against a wall or somewhere similar. Unfortunately, you haven't said where you are in the UK - if you're somewhere in the colder parts of the UK, and we do have a very bad winter, you may need to remove the pot to somewhere actually frost free during the worst of the weather. Conversely, if you're somewhere in the west or south 5 miles from the sea, it'll probably fine in a sheltered spot actually planted in the garden.

May be I could leave it where it is - it is in a south facing position not against a wall though but a fence. Thanks.