Canna and Dalhia bulbs. Should they be dug up for winter and stored?

Yes. Dig them up and place the roots/tubers AS WELL AS THE TOPS on some newspaper in a cool, dry, dark place for about a week so they can dry out. Then cut the tops off and place the roots/tubers in paper bags (preferred) or perferated plastic bags with some vermiculite. Store them in a cool, dark, dry place for the winter.

Put them somewhere that they will stay cold, but not to the point of freezing. I'd suggest getting some straw to store them in; make sure it is nice and dry; fill the bottom of a cardboard box with it, and put the canna bulbs down in it in layers. Don't forget to LABEL THE BOX if you are storing several kinds of bulbs. Keep it in a dry, cool-to-cold, dark place, and they should be ready to go in the spring.

This is why I don't plant Glads, Dahlias or Cannas. Pretty to look at, but I have difficulty with their survival after digging them up.

Even my Amaryllis won't cooperate. I've had it in a dark, dry place since New Year's and the dumb thing still sends off shoots!

Your reasoning is correct; they could freeze.

For your zone you will need to dig them up.

YES! They will definately freeze if you leave them.