I agree with Joebass. lilies are tough as nails. we have about 10 pots here in seattle, filled with nearly 50 lilies that are strategically placed in our full sun beds, along with nearly 50 more lilies that are in the ground. the pots sit outside all winter long. rain, snow, frost, what have you... sub-freezing temps are rare in this area, but you get the idea. honestly, we don't do much in the way of "protecting" them from the constantly cold and wet fall, winter, and spring months here in the pacific northwest. however, we have used western sword fern fronds in the past. they don't do much for temp. control, but they repel rain water very nicely; and I cant ever recall in the last 5-6 years having lost a one. I think you'll be fine with what you're doing now.
