First off, dig up the plant and cut off all the leaves EXCEPT the newest one coming straight up out of the psuedostem. I would stop fertilizing about a month before your first frost. As for the plastic bag, skip that. You do not want anything around the corm. ( bulb like structure that the roots grow from )
Any kind of moisture that is retained around the corm when the plant is dug up will cause it to rot. I'd stop the watering about a week before you plan on digging it up. After digging it up, shake off as much dirt from the roots and store the stem bagless. The key is to store the stem when the temps are cool but not freezing.

Check this out, it may help as well.

http://www.findarticles.com/p/articles/mi_m1082/is_n4_v41/ai_19660633#continue

I'm not too sure about the plastic. I'd think the plastic would keep in unwanted moisture and cause it to rot. If you really feel you need to wrap it in something use something breathable like burlap.

When I stored two not-cold-hardy banana plants (Musa zebrina) over winter in our garage I just cut off the leaves where they meet the pseudostem right before the first freeze.

I then brought them into the garage and DID NOT WATER them all winter long. After the last freeze 3-17-05 I brought them back out, watered them and had new leaves shortly thereafter.

-Todd

Thank you all. I was thinking that the plastic bag was a really good thing. I will not use now.