do you mean the small bedding/hanging basket lobelia? if you do then they are treated as annuals here. they will die in the frosts. you may find you get some self sown seed that will grow and flower next year. but in a hard winter the seed probably wont survive.
welcome to GoY too

My Lobelia Cardenalis some of which have topped off at over 6ft are in the process of shutting down right now in the garden....no potted ones. If I look at the base of these plants there is a rosette of green leaves at the base and this rosette will stay green all winter. Come spring the plant will come up in the center of this. Once the stems and seed pods are dry I will cut the stem and run my hand over the pods distributing the seeds in the known moist and boggy areas of my garden. This year I had a bumper crop of lobelia and beebalm. I don't think the hummingbirds touched the feeder once this year and as of last week they have left my garden and are on migration. If you care to look at my photos section you will see these plants in my garden.