Most are hardy, but in colder regions, a mulch laid over the top will help protect them. Unless they're in pots, in which case they must be moved somewhere frost free.

agree bamboo, i lost 2 in pots last winter. mind you -16 saw lots of things give up their earthly roots.

David, if you put your county into your profile you'll be able to get more specific help.

I have dozens of alstros here and they're generally recognised as tough plants.

If you're in the far north of the country use a mulch, as mentioned, if you're not just leave them be.
Mine were fine in temps of minus 12 ..... so knowing where you garden would have meant more specific info.