I live in Canada. I go south for the winter. I have been setting my heat pump themostat at 60 degrees. No problem. However, I want to save more electricity. So, how low can I set my thermostat without risking mechanical damage to my heat pump system?

60 is way too high in my opinion. Set your thermostat to 45 degrees (Fahrenheit) and you'll save a lot of money in the winter when you're not there.