GlennB is spot on.
You should come expecting very good weather and a wonderful, much quieter time of year to visit Santa Fe. However, as Glenn noted, the one caveat is that you can experience a burst of cold/snowy weather at any time. The good news is that it very rarely lasts very long and if it does snow, melts super quick.
Lastly, make sure you bring your checkbook. I promise, you're going to find LOTS of enticing things to buy during your visit!