As they dies back cut the dead part off. Treat them as u would a bulb. They are so tough it really doesn't matter too much what u do to them as they grow back so fast, as least in LA they do anyway.

Spanner, as you're in the UK, which isn't as warm as LA, you have a choice. You can dig up your cannas and store them like dahlia tubers, starting them into growth again in spring, or you can leave them in the ground with a covering of straw or bracken and hope for a less cold winter than last year.

I'm going to do the latter as we're in the south west and our soil is very well drained. If you're in a cold, boggy spot it would be better to dig them up, as I'm told that soggy soils are what kills them off.
My cannas still have flowers on, by the way... :-)

Canna rhizomes do like more moisture in storage than Dahlia tubers though. I would put them in perforated plastic bags with just a smidgen of moisture in the storage medium--like a half dried out sponge.