This study by HubSpot isn't specific to wineries, but to the extent that wineries are like other small-to-medium-size businesses, the answer is a resounding YES!
Sites with associated blogs get an astounding 55% more visitors that those that don't. More traffic (in general) means more conversions (the caveat is that the traffic needs to be traffic with an interest in what you're offering).
Of course, if your winery Web site sucks to begin with, more visitors won't help much.
The point? You need to make sure the basics are working right before considering launching a winery blog. And you shouldn't consider blogging unless you can willingly commit to posting something interesting at least once a week for a year. If that seems like too much trouble, then don't.
Blogging isn't for every winery. But if you can do it, it clearly has a benefit to your overall Web presence.