I mostly don't, aside from cleaning and lubing the chain and deraileurs now and then. I just don't have a good place or way to do it. My main winter bikes have had aluminum frames, fortunately, which reduces the damage the salt and snow can do. I make sure to buy stainless and nickel-plated steel chains, though. They're not cheap, but the extra corrosion resistance is worth it IMO.

When I took my commuter in to my LBS this past spring to get "tear down and clean all the things" service, they seemed impressed at the mechanical condition given multiple years of winter commuting.