I personally leave them on for the very reason you say...a bit of winter form. Maybe worth giving them a weekly liquid feed to boost them up before they die down for the winter.

It's a knotty one - Badfish's suggestion of feeding is a way to help the plant out a bit. I always remove mine - I love the flowers so much I want to encourage more, and the chances of me walking round the garden when its frosty are zero anyway;-)

Can I butt in and ask what sort of feed you would give them as I'm interested in doing my own :o)

Any feeding of these plants should take place during summer, and not now. You don't want to encourage more growth at this time of year, so if you want to keep the heads on over winter, best to feed up to end of July and no later, preferably with a watered on solution of something with a balanced NPK - something like Miracle Gro general purpose.

Thank you