Can I leave Autumn Joy in a plante over the winter or should I plant ?

Plant it in the ground to survive the winter. You will get great cuttings from it next season, that will give you many plants

what is your location?

I'm in Brewster ny 10509

That should be fine to leave.

Since most sedums are very hardy (check your plant tag to find the hardiness zone), you can leave them outside if they are in a pot that can survive the ravages of winter. If you are leaving the plant in its pot, make sure that it is rated for two USDA zones colder than the one where you live. Because the plants’ roots are above the ground, these will get colder than one that is planted in the ground. You can also protect them by wrapping them in burlap. From The Spruce.com