Hah! the whole plant dies for me!!
I suspect that you will have so much winter kill, you won't need to worry about pruning.
Linda C...not a lavandar grower

Oh lindac! That's sad!

I'd shear off the flowers and about a fourth to a third of the new growth - and I'd do it soon after flowering finishes so the plant has the chance to harden off for winter. No new growth to catch the frost. Aim for a rounded shape - like a bun or a mound.

You can use the dried heads in pot pourri, if you want - and the dried foliage you've taken off.