Why would you want to prune it? Most saxifrages are cushion-forming plants, and all you need to do is to snip off the dead flowers, or split a clump and replant them to make new plants.

The herbaceous types of Saxifraga like S. umbrosa (London Pride) do not need any pruning either, other than general tidying up. Not sure about S. fortunei and its different forms, never managed to keep one alive long enough for them to look as if they need anything doing to them (Mine just got funeral rites!).

Just take a pair of scissors over the top of the plant to remove the dead flower stalks.