Kate wrote:

I have my Christmas lights plugged into several outside GFCI electrical
outlets.

They do have waterproof covers on them, but with the lights being
plugged into the outlet, I don't believe it is adequate coverage to
protect it from the rain and snow.

Would it be safe to simply tie a plastic bag around it? Any other ideas?

I would think the pastic bag would create more problems than it
solved.

Weatherproof "in use" covers. I paid $20 or so at Lowes for my first
one. Liked it so much I bought a dozen on ebay for $4-5 each.

Search ebay for them.

Jim