There are hundreds of varieties of sage, many of which grow in a bush form. Without knowing which you have it would be impossible to say what, if anything, you should do. For example Mexican sage isn't hardy that far north. Neither is pineapple sage.
All the sites I've read except for one says it's hardy to zone 7 when planted in the ground. Being a salvia I would recommend excellent drainage for the winter. It wouldn't do well in a wet spot.
