Hi Nancy,
I am in a similar zone in the UK and all my daylilies are kept in pots and all are outside all year round. I haven't lost a daylily so far in a pot in ten years despite having two winters in -20°C. I am not saying it can't happen but just wanted to reassure you that daylilies are very resilient here. We often have winters that veer from very cold to very mild, in the last few days alone we have gone from 8°C to -15°C and back again so I have spring bulbs in full leaf now! The daylilies all look fine, even the young seedlings.
Hope that helps.