I don't, the dry heads are said to protect the new shoots from frost, it flowers on the wood made the year before, its why pruning it can be a problem

I planted a Hydrangea for the first time in 2014; it bloomed profusely in 2015, then faded and left large heads which turned brownish. I was not sure whether to cut them down to the ground, or just take off the heads. I read that its best to cut just above the first leaf at the top; so left it until March, then did so, disposingof the heads, and now I have a very healthy display of leaves coming along, and am fully expecting another floral display this year. Its so satisfying after such a short time to see success!