The answer to your questions really depends on your specific location, your specific weather, how much square footage you have available, how much heat you have available and how much light you have available.
1. Do I need to cut back for winter? (We do get some nights with frost, here)
If you are leaving your plants outside, it wouldn't be a bad idea to prune a little. If you are bringing them inside and you have the room and the light, no you don't have to prune.
2. If so, why?
People prune plants back so the plant conserves energy in low light/heat conditions. Don't know if you have those conditions or not, but judging from my experience in South Africa during your winter (in Limpopo and the Cape, primarily) I don't think you need to prune a ton, if at all. Use it as an opportunity to clean up the plants.
3. Those of you with plants in the ground - do you dig them up and pot them?
I'm with Potawie- if I put it in the ground, it's gonna die there at the end of the season. It's interesting to see how long some last.
4. If so, why? Are they taken indoors?
N/A
5. Do I water the plants during winter?
Again, this depends- if you have the room, the light, and the heat, you can keep growing which means keep watering. If you are going to prune back and force the plant into dormancy then you only water sparingly.