I usually tidy the old stems up when the leaves die off in winter - just cut then off. I don't know how cold it gets where you are - here they just regrow in spring. You can improve the flower display by pinching out the growing tips of the stems in summer to make the plants bushier and to produce more side shoots.

If you don't get round to either of these things the plants will still grow provided they're hardy enough for your conditions.

i tend to leave the dead stes on until i see new growth in spring. I'd like to think I was helping the plant but I suspect it more down to laziness :o)

In Illinois, it's probably better to hold off on pruning until new growth shows in the spring, since the dead stems will help trap snow for insulation.