The pump should be drained and stored in a frost-free location for the winter.
Some people suggest to store the pump in a bucket of water over the winter. It will not hurt to have your pump in a bucket of water to keep the seals lubricated and biofilm that has built up in the components during the season from hardening. Doing this step is completely up to you. Just know that you must keep it in an area where it will not freeze.