While you don't get freezing weather for months at a time in TN, it can get down to where pipes would freeze. But the good news is that the line from the well head to the house should be below the frost line.
IF...you have a basement, put the pressure tank, control box and pressure switch down there, and you'll never have to worry about freezing, or building something. I have ours in our basement, and I don't even hear the pressure switch click on. And servicing the controls/tank is a piece of cake. If no basement, consider building an insulated closet in your garage perhaps.
If you want to cover the well head, get one of those plastic fake rocks the well drillers use. It provides more protection than you would think. I wouldn't use it in Chgo climate, but in your area it should be good to go.