What is the best way to winter lilies?

It depends on the type of lily and what climate you are in. I live in a mild climate with some frost but very few hard freezes (Zone 9), and virtually all lilies are winter hardy here, so I leave them in the ground. Most lilies are hardy to at least Zone 5 (average winter temperatures down to minus 15 degrees or so.) Asiatic lilies are hardy all the way down to Zone 3 (minus 40 degrees) and even gardeners in many parts of Alaska will leave these babies in the ground. Unless you live someplace really cold in the winter, the lilies will be better off staying in the ground.

If you do live someplace really cold, dig the bulbs and store them in something like peat moss or sphagnum moss in paper bags or baskets. Keep them someplace cool but free of frost and replant next spring.

Some lillies will overwinter in the ground well. If yours are not winter hardy - cool and dry is the way to go. Avoid plastic bags, as they may rot if there's moisture.

Put them in the basement or a cool spot and keep an eye on them that they do not get real damp. Keep them wrapped in some peat moss or something that will keep them dry.