Clip off the flowerheads if you want, but otherwise wait till the topgrowth has been damaged by frost, then cut down and fix a deep mulch or fleece or similar to protect the plants during winter. I find its easier to leave about 6 inches of stem, which keeps any pile of leaves, mulch or whatever more securely in place.

Also, watch out for slugs in Spring when it re-grows.

My tip is to pot up some of the new growths (babies) at the side of the cluster in Seprember and overwinter them under cover (coldframe maybe) just in case! I lost a lot of my stock last winter and was glad of my back up plants.