JD,
It is usually best to dig your cannas after a light/killing frost. The rhizomes will usually continue to slowly grow even after this time but pick a time that fits your schedule. Your storage area temperature may be a factor in the time schedule.
Regards, Kent

The previous post is correct though it is better to "pull" them BEFORE any frost damage has occurred. If at all possible try to keep them in growth throughout the winter. In your area this will mean some form of heating. If you do they will start a lot more quickly come the spring.

About two weeks after frost has killed them I have a corm/ rhizome/bulb digging day when my cannas, callas and dahlias (among other things) are dug and stored for winter. If rain or cold is in the forcast I might dig a little earlier.

tj

Cannas are hardy up through zone 7 at least, meaning they survive considerable frost into the teens and lower.

I dig mine and bring them in for storage no earlier than late October typically, though any time before the ground freezes should work. You don't want to be out there with an icy wind and temps below 40 digging up your canna rhizomes.

I cut mine down to the ground about two weeks ago after a killing frost. I plan to start digging them out this weekend.