Well,probably no need to do anything as far as insulation ,if its just your typical well casing sticking up,,the water line is down below freezing,connects with a thing called a pitless adapter,,it won't freeze,,not here in w.v. anyways.
Now if your talking putting your air tank outside,or your not subersable pump,,than you need to insulate it,,little insulated house of some sort,,maybe a light bulb in it..