Rosemary is an evergreen, but it depends on climate. Once it gets down below zero, it really harms the plant. The needles should stay on during the winter.
In our climate where it gets very cold in the winter, I leave my rosemary in a giant pot, and around the first snowfall I bring it inside and put it in a sunny window. Providing it gets a lot of sun, it rides the winter out just fine there, and plus, I don't have to go outside to get fresh rosemary.
I constantly prune my plant, but if you just planted it you may want to give it a week or two to get used to its new home. I will tell you, that they are not very forgiving when it comes to transplanting, so if you are going to put it in a pot, do it before it gets well established in the soil.
I have one here that is three years old, and is basically a bush now. I have it in a huge pot and am constantly giving cuttings of it away.