It depends on what your lowest temperatures are going to be...in most areas of the UK, a bay tree should be hardy, but two cautions:

1) If it's in a pot, the compost might freeze along with the roots, so use bubblewrap round the pot, and fleece over the plant.
2) If it's newly planted in the ground, I'd fleece it until it's established and also if the temps drop below about -4/5 anyway to be on the safe side.