Either that, or heal them in for the winter. Depending on variety (you didn't specify), they may be perfectly fine with the pots being sunk into the ground, or placed on the ground with mulch mouned up around and over the pots and roots.
Exceptions: if the azalea is a florist type, it's probably not very hard, so you should take it inside. And if the euonymous is Japanese euonymous, then it too should go inside for the winter. Other kinds are more hardy.