Where do the Verona insects go in the winter?

There are many options.  Some, like monarch butterflies and green darner dragonflies, will migrate to warmer locations.  Spiders may move into your home.  Their egg cases, which look like the tip of a cotton swab, might be deposited in a crack or crevice. 

In the Spring, tiny spiderlings may be observed floating away on gossamer thin threads.  Adult house flies mostly die, either from the cold or an attacking fungus.  A lucky few find a sheltered spot and survive both the freezing cold and the powdery fungus.  Once it gets warm out, these flies will reproduce and start the next generation by laying eggs that then become maggots.  Beetles and other invertebrates can survive the winter in an old log or under layers of leaves. 

This is why it is so important to leave some leaves and not to clean up your yard perfectly.  Grubs, which are the larval stage of beetles, can also survive underground.  Many insects lay egg cases and cocoons on branches and bark.  It is amazing that they can survive in the freezing temperatures.  If you stop and look very closely, you may see a hidden world of insects waiting patiently just like you for warmer temperatures.