If they are H. hybrids of orientalis type, then now. If they are H. niger, corsica, foetidus etc. then not at all unless dead leaves.

why would you take the leaves off at all Owdboggy ?

The old leaves often look tatty and distract from the flowers. However, if it's still very cold and frosty, you might want to delay removing them for a week or two to protect the new growth

Agree Andrew they can look very tatty but would hold off at present .

Well it is certainly cold and frosty here and has been for a few weeks. However, the new flower stalks of my few Hellebores are already 6 to 9 inches high and ready to flower.
The leaves are removed as the old ones around this time of year harbour a rather nasty fungus/virus/bacteria (no one is quite sure which) which causes the dread Black Death' of Hellebores. Removing the leaves before the pathogen gets into the plant is the only way to prevent this nasty thing killing the plant.