Depends where you are in the UK and what your winters are normally like. These palms are happiest in dry and warm/hot climates.....hence the name.
If you can't put it under cover then Fleece is usually the best bet but will of course let water in..........some won't matter but not the deluge we've suffered this winter particularly if it then freezes. It is also a good idea if you protect the pot it is in (I'm assuming it is in a pot ? ) by wrapping it well in Bubble wrap (or bags of straw, crumpled paper.....anything which has a high insulation value ) .
Depending how the winter is, you could also keep it in a frost free garage or shed if there is some natural light - i.e you don't HAVE to have a conservatory or greenhouse to overwinter and then put it outside as soon as feasible.
Failing all that...........you could always try taking it back and tell them you made an error when buying it.............it might work and is always worth a try.
As to living and learning............you are spot on............but don't give up