Ginny, if all your daylilies typically die back completely for the winter, which I assume they do in Zone 5, you don't need to do anything. If you think any infected daylilies may stay green through the winter then you could cut back and treat with a fungicide. It's much more likely that you would bring it in again if you buy new plants from an infected garden next spring. I'm assuming that you don't grow any Patrinia plants because that is how daylily rust persists in very cold climates like Siberia. If there's no Patrinia then it would be safe to dump any cut foliage in your timber area assuming you don't have any daylilies that stay green through winter. You wouldn't want to do that if there are any Patrinia plants nearby or if your daylilies stay green.