Wallflowers are biennial so they grow in year one and then in year two flower and die - though a few may survive. You can either remove the seed pods or let them dry off, collect the seed and sow in autumn.

Unless you've got something like Erysimum Bowles Mauve, which is a short lived perennial.

If the latter (or its kin) deadheading like that will help it save its energy for further growth and bloom, including slightly longer life. You may still want to start cuttings for replacements every 2-3 years.