Depends what you mean by Arum lily - if you mean an actual Arum, leave it in the ground and put a mulch over the top if the winter gets cold, though where you live it should be fine. If its a Zantedeschia (common name Arum lily), Z. aethopica "crowborough" is the hardiest and can be left out, and where you live, the other Z.aethopica varieties should be fine too. All the other Zantedeschia varieties are tender and need to be brought into a greenhouse or indoors.