If so when and how?
I've typically cut just before the buds begin to swell.
I cut about 1/4" above the first bud below the dead flowers.
Does anyone actually leave all the dead flowers? What happens?...as you can imagined I've never left them.
Years ago, I deadheaded but now I let Mother Nature do it all for me. As time passes, the strands that attach the flowers to the stems degrade and the flower eventually falls. Depending on how thick the strands are and how your winter weather is, this could take several months. I no longer pay attention so I have to guess they disintegrate between Jan-Feb.
My macs still have a lot of old flowerheads left on them :-) I generally remove them when I do my late winter/early spring clean up as I find them unattractive once the plants start putting out new growth. This is a new garden for me and the hydrangeas have been seriously unattended and are massively overgrown so I am behind schedule. I normally deadhead just as you decribe but this year the plants will be getting a more aggressive approach.
I just started deadheading today.
On macs it's fairly easy to see where the flowerbud is, so I simply cut above it. With many serratas, especially with a japanese types, it's not so obvious, so I use a common sense (which says that first two sets of small buds below flowerhead are not viable) or when in doubt just cut above second bud.
I only have five paniculatas and I pretty much do what luis does. I just let Mother Nature take care of it. Unless of course I'm right on top of them with pruners in my hand, but that almost never happens. I figure they will fall off when they are ready, and I'm in no hurry.
I cut off the dead flowers once it is clear the season is done. In the Spring I cut off the dead sticks above the highest new growth.