While you can simply remove the wall-mounted unit when not in use, it's unwise to do so. The weather stripping used to install the unit will work to keep cold air from entering the room and maintain the temperature inside. Cool air can enter and warm air can escape through the air conditioner's vents, so ask the retailer how to weatherstrip these during the winter.
The back end of a wall unit, known as the condenser, is always exposed on the other side of the wall. Ask for tips on how to protect it during non-summer months. Some retailers may suggest using a canvas or vinyl cover, depending on the type of climate you live in. With a cover, you can prevent the unit from damage in the winter.
Editor's note: This is an updated version of an article that was originally posted on Oct. 30, 2012.