Yes - take it into a frost-free place. There's only one reliably hardy Zantedeschia - Z. aethiopica 'Crowborough'. My tender plants die back in the winter, I keep them on the dry side, and I start them off again in the spring.

Z. aethiopica can be overwintered in the pond here (not last winter though) as long as the roots are under the water level they have enough protection to survive and sprout again in spring