As I tend to germinate most of my seeds by the baggy method they are left in their bags until the following spring, where they will be kept damp from the condensation generated within the plastic bag. If they have made considerable growth during their first year, then they will be potted on, in that year, still as a group, and left to tackle life in the heated greenhouse for the winter. I do also germinate seed in a heated propagator within the greenhouse and once they have reached an acceptable size I tend to turn off the heat and take off the lid to give them plenty of air movement. Making sure to give them some protection from full sun when necessary. Come the winter the cover goes back on, with no heat, again leaving them to fend for themselves until spring. Although the UK's light levels in the winter are not always that great, I still feel they fair better there, against the greenhouse glass, than a windowsill indoors.Often with daylight coming from only one side. They will generally become somewhat leggy anyway, unless you use powerful LED lighting as Chris has already stated.
Having said all of this, one or two of our members swear by growing under lights throughout the year and have some fantastic results. You must always take into consideration though that what ever method you choose there will always be losses. A learning curve as they say!