Brian's right about timing; more important with pines than with most other genera.
As for winter, I see you're in eastern Tennessee. What's your elevation, and your USDA zone? (The first affects the second.)
Pending the answer on your zone and elevation, I would say to tuck it into a sheltered spot outside, protected from wind and snow overload. (From critters, too.) Ideally, you want it to freeze once and stay frozen until spring; that is, unless you can give it consistent temperatures between 35 and 40 F thru the winter.