When to remove Hydrangea flowers and cut back?

Leave them as they are for now; the old flowers give some protection to the growth buds just below them. In spring, you will see green growth as the buds break, cut back to just above these new shoots then

Hydrangea paniculata is pruned differently from H. macrophylla(hortensis). These flower on NEW wood so they can be pruned right back in spring as low as you wish. They then grow away and flower in September. OR, you can leave them alone apart from removing the faded flower heads agai in spring. It all depends on how big a plant you want to end up with. Unpruned ones make very large shrubs eventually,
H macrophylla flowers on wood produced the previous year so you only remove the flower heads and any unwanted stems, again in spring.