They're a lot like caladiums - they don't like soil colder than 40 degrees. Lift 'em in the fall, put them in some light, moist soil and keep them somewhere frost free. I lift my caladiums every fall and store them in a bag of garbage bag full of shred - I have about an 80 percent survival rate with caladiums...I'd expect about the same with cannas.
I think that in a sheltered spot, with mulch, cannas would be okay in a mild winter here if cut back, but with the luck I have, it'd be sure sign of a blizzard if I did that.

))