Leave them where they are, whether they're in the ground or in pots. If they're in pots, you can repot them in fresh compost in the spring. If they're in the ground, make sure you know where they are by marking the place in some way.

Lily bulbs never go fully dormant, so the best way to "store" them is in the ground. If they can't stay where they are, though, now is a good time to give them a new home.