Most lily varieties are dug up in the fall and depending on your location, they are either replanted elsewhere in the garden or stored over winter. If you live where winters are generally mild, then you do not need to dig them up - just leave them in the ground and allow the foliage to die back naturally, though you may cut the flower stems back to the base of the plant. You can also cover the plants with a light layer of mulch over winter.
If your winters get fairly cold, however, it is best to dig them up. Trim leaves before digging up the tubers, being very careful not to damage the roots. Place the tubers, along with some soil, in a container with some peat moss and store them in an area between 35 and 41 degrees Fahrenheit. You can replant the lilies in the garden the following spring.