It depends on where you and your beds are located (both geographical weather zone and whether bed is in protected area in your yard), and how good the drainage is in the flower beds containing dahlia clumps.

The typical rule of thumb is that you should dig if you are near zone 6 and lower; however, growers in zone 7 have had frozen tubers, depending on the winter. Growers in zone 4 have successfully overwintered in the ground, but it depends on how sheltered that bed is, and if the soil has good drainage. I know a lot of growers in 7/8/9/10 zones that dig every winter, as they don't want to risk the winter rains rotting the tubers in the ground. Some have good success using tarps/pots to shelter the underground clumps from too much rain or snow melt.