I keep them in a cold frame outside but if a cold greenhouse is available I'd use it while they're small. Use a loam-based seed/cutting compost with added grit, water when you pot and then don't water through the winter unless they really dry out.
Make sure the pots are raised up a bit or on gravel so they can drain properly - if I can I use terracotta pots for bay and other mediterranean herbs as they are porous so not only do they drain better but air passes through them to the roots. Most can cope with quite low temperatures if their roots aren't waterlogged.
My big lollipop bay (from a cutting taken in 2000) is now in a pot too big for me to move, so the pot will be wrapped with bubblewrap in a week or so to help it survive the winter - but it's survived so far so I'm not too worried.