What is the best way to store patio furniture for the winter?

It depends on the material your wicker furniture is made of, wood reeds or fiber. A marine base paint or oil would be the best, but it will not protect any type of wicker for prolonged periods. Leaving wicker furniture out in the elements year round is not good regardless as to what you use to protect it.

Also, it has been said that hosing down (wetting) an unpainted wicker chair once a year will make the fibers swell and stop the wiggle/slackness which occurs with age. I see no harm in this, just as I would not panic if the chair got rained on (once in a while.)