This is a very important statement in the novel. When Winston states that "we are the dead," it follows a statement that speaks more to Winston's above assertion. Winston insists that "She did not understand that there was no such thing as happiness, that the only victory lay in the far future, long after you were dead, that from the moment of declaring war on the Party it was better to think of yourself as a corpse." On the surface of it, it would seem that Winston, having decided to take on the Party, has already come to see himself as a corpse - perhaps not immediately, but soon, and it would be permanent. What efforts he and Julia make in their struggle against the Party will not bring about effect they themselves will enjoy. It is for later generations to see the benefits of their works.
Furthermore, from early on in the novel Winston realizes that being convicted of thought crime is tantamount to a death sentence (or vaporization sentence, I suppose). What he and Julia are contemplating will surely lead to their capture as thought criminals - which ultimately it does.
When taken into a larger context, however, "we are the dead" could reference the death of the individual self. That is, the death is not a physical death; it is a metaphorical death. All that defines them as individuals will be taken away, as it is through the process of O'Brien's interrogation of them in the Ministry of Love. In this sense, Winston's statement is a definite instance of foreshadowing. Winston and Julia (and the rest of society) are the dead...and the Party has killed them, or at least their will to individuality.