Winston believes it is conceivable that they are always being watched by whom?
In Part 1, Chapter 1 of 1984, Winston states his belief that the Thought Police are watching everybody:
"It was even conceivable that they watched everybody all the time. But at any rate they could plug in your wire whenever they wanted to."
In the book, the Thought Police are tasked with the job of uncovering instances of 'thoughtcrime,' in which a person has anti-party thoughts or sentiments. To detect thought criminals, the party has installed telescreens in houses and public buildings across Oceania to monitor the population. (Only the proles are exempt from having a telescreen and only inner members of the party are able to turn it off and on.)
On a practical level, it was not possible for the Thought Police to actively monitor every telescreen every day, but ordinary citizens had no idea of when they were being monitored, specifically. This created, in Winston's words, "an instinct...that every sound you made was overheard, and, except in darkness, every movement scrutinized."
This is how the party retains its dominance over the people of Oceania: by making them live in a perpetual state of insecurity where one infraction might lead to a visit from the Thought Police.