Winter sucks, my advice is to move somewhere warmer.
Smaller cacti that are unable to store lots of water, may need at least 1 watering through the winter, especially if you're giving them a lot of light and forcing them to grow. Large mature cacti can actually go years without water.
If you have small babies, just give them a squeeze every once in a while (don't prick yourself) if they feel soft and are getting wrinkles, they need H20 holmes.
I keep mine in the dark so they dont thin out.