Good advice Cinda and Jo Ann. We do get lots of rain in winter here, with freezing and thawing throughout several months. For me I have found that having gravel under the pot or feet raising it up from the ground, keeps them draining so excess water is not building up in the pot.
Not all terra cotta is created equal.
From Demesne, Buying terra cotta pots
Terra cotta pots are made all over the world. The finest pots are made in Italy, but other perfectly serviceable pots are made in Germany, Mexico, China, and the US.
The quality of clay (as with any pottery) is critical to the final quality of the pot. Other factors include construction and the temperature at which the pots are fired. You can tell something of a terra cotta container's quality and durability by rapping it with a knuckle while holding the rim (don't rap it out of your hand or the test is moot). If it says "thud" when you hit it, it's fired at a low temperature. If it "rings", it's probably fired at higher temperatures and more likely to be durable.
Most common are hand-turned or molded pots. Hand-turned pots are made individually by potters and come in a variety of shapes and sizes. As with any craft that is labor intensive, the cost of such pots is relatively high compared to the the molded pots that are mass produced in factories.
Molded pots are less likely to be frost proof and are often made of variable quality clay. Different manufacturers fire at different temperatures. Coarse, low-fired clay pots can disintegrate in four or five years. Others may contain resins or have finishes that supposedly prevent wear or cracking, but should you decide to fire an additional glaze (as some ceramics students have been known to do) the pot could melt in the kiln.
Understanding your clay pots is the first step to protecting them from winter weather, so with proper care, you can enjoy them for many seasons.
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