Most folks seems to leave up the dead flower heads all winter and then cut the plant back to the ground in late March.
What about you?
In cold locations, the stems dry out and die so the plant grows from the ground back up in Spring. It therefore makes sense to prune the dried out stems any time. Some people do it in the Fall, others in early Spring. You can also deadhead the blooms at any time. It is much warmer in my zone so I usually do neither. I let the blooms fall on their own but do not prune it to the ground because the stems do not usually dry out here. I suspect the blooms fall between Jan-Mar but I usually do not even notice!
I cut off dead flowers as the season progresses to keep it tidy and then I cut the entire shrub back to about 30" in the late fall. In the spring I cut off any branches that don't leaf out. That is really more than necessary.