I assume your Lily is in a pot? if so it will over winter quite nicely as long as you keep it outside. It will come up again next year. It may be preferable to repot it into a contaner one size up and give it a little food around April/May time, anything like a sprinkling of Fish, blood and bone around the top of the pot, or if you prefer when you repot add a few seeds of Osmacote, or water with tomarite or baby bio or any other food.
As a little addendum if your lily has little black seeds at the leaf joints ( not all do), you can nip these off and pot them up giving even more plants that will flower in a year or two.