This question lies at the very heart of the Party and the way that it does not simply want to gain power, but actually have total control over the hearts and minds of its people. It would have been too easy to kill Winston Smith, just as it would be too easy to kill any opponents to its regime. However, the problem is that this would not actually gain them any support. What the Party has to do is to do the unthinkable: to make those who oppose it come to love it and everything it stands for. It is for this reason therefore that O'Brien and the Party take such time with people such as Winston Smith and Julia: if they can "turn" them and make them love Big Brother, they can change the ideology of anybody who opposes them and ensure the survival and support of the Party. This is what is so chilling about the ending of this story, as the following quote demonstrates:
But it was all right, everything was all right, the struggle was finished. He had won the victory over himself. He loved Big Brother.
The Party, through the time and the "care" they have lavished on Winston's torture, have made him love his enemy and to see this as a "victory." What more effective and long-lasting way could there be of quashing any resistance than through securing the complete ideological shift of their opponents?