Calla lilies are not frost tolerant in areas colder than USDA Hardiness Zones 9 and 10. In all other zones, the rhizomes need to be dug up and stored for the winter.
In the fall, after the first frost, dig up the calla lily's rhizome. Remove any soil and place the rhizones in a warm, sunny window for several days to allow them to dry. Then store them in a dark, well-ventilated location tthat has a temperature between 50 and 60 degrees throughout the winter. A cool basement is a good place to store over-wintering bulbs and rhisomes.
In the spring, after all danger of frost has passed, re-plant the rhizomes in the place you desire. The best places will have full sun to light shade and should be in an area that will be protected from strong winds. They do best in moist, humus-rich soil that is free-draining. Plant the rhizomes 4 inches deep and 12 to 18 inches apart.