Wrapping runs in winter

I have started to notice a lot of people in my area talking about wrapping their runs in preparation for winter. I live in an area where some winters we can have quite harsh temperatures and heavy snow. My run is snugged up against my barn, and I have a tarp covering the side that the prevailing wind comes from. How important is it to fully wrap a run in the winter? I would still have to leave the side with the door open just because of how my door is set up.