One year I felt quite smug as the price of leeks rose in the supermarkets because of a prolonged (that is several weeks) period of frost. I had lots in the garden, but when I came to dig them out they were frozen in the ground! So, if we are in for a big freeze, dig a few and put them somewhere cool, but above ground, like a shed or garage.
Otherwise they will be fine in the ground, just make sure to use them before the hard flower stalk develops when they start to grow in the Spring.