Maybe. Depends on where they are located. If you have 20' of unprotected wire between the battery and fuse, maybe not. You want to minimize the length of unprotected wire, meaning fusing / circuit breaker at or very near the battery.
I don't have a winch and don't know how most people do it, but you may consider a battery disconnect switch. Just be aware of the continuous and intermittent current limitations.
Browse the BlueSea website for fuse blocks and busbars (there are other manufacturers, but BlueSea is top notch)
You want to minimize the length of unfused wire, and protect from accidental short circuit (i.e. dropping a wrench).