Hardy water lillies will need to be in deep enough water that they aren't at risk of freezing completely. Water deeper than 2 feet will be less likely to freeze over completely and damage your water lilly. Cut off dying plant matter near the end of the fall so that they aren't able to decay within the water and your plant will be encouraged to take care of the parts of it that are still green.
Keep your lillies in the deepest part of the pond if possible, this will help insulate the plants and prevent them from freezing. Other kinds of lillies, such as tropical water lillies, can be harder to keep alive through the winter, and will need to be moved inside where temperatures are warmer.
