AFAIK there is no static winsock library. That means you're not incorporating the library's code by linking against the .lib, you're actually importing the functions exported by the dll and I believe this is exactly what you want.
Your file might increase in size slightly and that should only significantly matter in debug builds which have debugging symbols and a lot of other stuff to ease debugging.
Try with a release build and see if that shrinks down, perhaps other debugging information are bloating your executable.