Since we are spoiler free, I'll just say that I don't think they would have written Dontos' scene in the first episode into the show if they didn't plan to continue with his story line.
They did have the Hound give Sansa his cloak to cover up with which is consistent with the book. They haven't done as good a job overall on the show of showing the sort of weird relationship that the Hound and Sansa develop in the books, but they do give it little bits of attention here and there. He definitely has a soft spot for her.
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