The roots don't have to be below the frost line, but you don't want it sitting above ground in the pot. You need to "heel in" the plant. You can leave it in the pot, but either dig a hole and bury the pot, or mound mulch up around the pot to insulate it against fast changes from freeze to thaw. In the ground is better. Even plants with no leaves lose moisture in the winter, so make sure you water it right up until it freezes.
You might want to google "heeling in".