Yes, absolutely you need to dig them and bring them indoors. But I wouldn't store them naked, put them in a flower pot with some potting soil and don't let them dry out completely. Maybe water the pot every couple of weeks. If they're nice big bulbs they will do fine over the winter in a cool, dark place.
If they aren't nice and big, at least an inch across, when you dig them up, I would order some new bulbs from Bill next spring. They're not expensive and will give you SO much nicer big healthy plants than what you'll get from little bulbs that you've stored.