If they are mulched well you can leave them outside, just bring the potted ones inside in the garage or wherever you would store your bananas. If you don't want to take any chances, just pull up the corms (or dig up) and cut off the leaves and store your corms wrapped loosely in some newspaper and placed in a cardboard box. (I would not use plastic or store in a plastic box) Everyone has their own ways though so we'll see if any one else has suggestions.
There are tons of links on the internet too:
How to Dig and Store Canna Roots: Canna Rhizomes or Roots Can be Dug in Fall and Saved through the Winter for Replanting Next Spring Flower Gardeners Learn How to Keep Canna Flowers from Year to Year | Suite101.com
How to Store Canna Bulbs | eHow.com
~JaNan