You have a choice - if you want to collect their seed, or allow them to seed themselves, then leave them alone until the seedpods have opened.

If you just want to tidy up, then cut out each flower stem to the ground.

I leave mine to self-seed and when the main stem starts to die and go brown, I cut them back to about 1" above the soil (I don't pull the roots up). They come back every year making a pretty display.