You don't need to, just leave them in the ground, they do much better that way. Unless you have a very tender variety of some kind.

Or in their pots, if that's how you grow them. Then I pot them up in fresh compost in the spring.

Welcome, Musicplayer!
Lily bulbs don't like to dry out, so the best place to store them is in the soil, as Bamboo and Spritz say.