I run mine in AUTO mode 365 days a year. We have a heat pump, so it really doesn't matter. We live in North Carolina, so there are too many days where we'd be manually flipping between HEAT and COOL to maintain the comfort level we've all come to expect - thus AUTO works the best for us.
I remember growing up in the Northeast...we would cover the AC Compressor unit outside for the winter months to keep snow and ice out of it. It would have been a bad idea to allow the thermostat to call for COOL in that situation.