When to deadhead Echinacea purpurea (cone flowers)

Not now, no. If you leave them, they actually look good with frost on them! So I often leave attractive seedheads such as these as a little bit of winter interest.

I'm surprised yours have finished flowering already....mine are still going strong. Agree with Spritz - leave the cones to enjoy through the winter - they will give your borders structure and interest, but if you don't like them then cut them off, but leave the leaves to feed up the plant.