You don't have to worry about it. PDO does not require you to escape your data before passing it along to the database.
Edit: Just to be clear, I mean to say that as long as you are passing variables into your parameters (for example, the value of a form field), you don't have to worry about it. However, if you're passing variables that you've defined as strings, for example, then obviously you need to escape anything that needs escaping in that string in order to avoid breaking syntax. However, this wouldn't even make much sense since one of the main advantages of PDO is that you're passing information from the user to the database without having to sanitize it yourself, and there aren't many times (if any?) that you would be passing strings that you yourself had defined.
Also, make sure you still sanitize your data for type. For example, make sure it's an integer if you expect it to be, make sure it's less than or greater than x if you expect it to be, etc.