Overwintering, as was mentioned, depends on the variety and your location. In Zone 5, you're going to have to provide substantial protection for your mums.
Also since you're trying not only to keep them alive, but to increase their trunk size next year, you cannot cut them back for storage under mulch (as is usually recommended).
A cold greenhouse would be most appropriate, but there might be local mum enthusiasts who can advise you better.
Mums aren't strangers to bonsai. The Japanese have been making bonsai from them for quite a while. There is a 200 page hard cover book called "The Art of the Chrysanthemum" out there. It's worth finding if you're really serious about this. It is dedicated to bonsai mums. It will cost you upwards of $50 if you can find it.
http://www.thegardenlady.org/2008/11/17/chrysanthemum-bonsai-in-japan/
Should be noted the mum bonsai on this page are tanuki (thin trunk grafted or grown on larger dead trunks). Still impressive, though