Sorry for delay in reply!
I winter over my cocoons in the fridge or my barn. The trick is to mimic nature. It should be exposed to normal day length and temps as best as possible. For now just keep it in a cool room, out of direct sunlight - and where no animal (domestic or otherwise) can get to it. As it gets colder you can put a layer or two of paper towel in a small plastic container with a tight fitting lid (Tupperware type), and one drop – literally only ONE drop of water on the paper towel. Any more than a single drop and you run the risk of mold, and this will be just enough to give minimal humidity. Place the cocoon in the container (lay it as it seems to naturally fall), put lid on and place in the veggie crisper drawer in your fridge. The crisper drawer has more consistent temps.
Then in April or May you can bring it out. Once you take it out put it in a box with paper towel and a stick or something for it to climb on to when it emerges. It MUST have something to climb up on in order to inflate and harden its wings properly. I had a crippled sphinx moth in my early rearing days b/c her stick got dislodged – a very sad occurrence 
Good Luck! Here's a link to a site with some pics and info
lele
Acronicta americana - American Dagger Moth