Are thristles annual or perennial? I am wondering if there is some benefit of pulling them out now, or should I just let the winter kill them (if they are annual).
Depends on what kind of thistle. Maybe Bull or Canadian? Some are perennial, some are biennial. Canadian thistle is a perennial, while the bull thistle is biennial. If you look at the link below it might help you identify what you have.
Here is a link that might be useful: MSU weed indentification
Most of them are quite edible. The spiny leaves cook quickly and lose their barbs. They're delicious! That's how I got rid of my thistles. :-)