Welcome to GoY, Katy!
I would take off the dead flowers, but leave the rest, as long as the leaves are green. Meanwhile, keep feeding and watering it to build up the bulbs for next year. Think about planting them in the ground, if you can, before the soil is frozen, since they overwinter much more easily in the soil than in containers.

Welcome from me too, I agree with Tugbrethil, much better in the ground, if you decide to plant the out, plant them about 4 times the depth of the bulb on a layer of horticultural grit to aid drainage, [unless of course you have a sandy soil], but don't worry too much about the correct depth, lillies have contractile roots, so if they're not planted deeply enough, their own roots will pull the bulbs down into the soil, but watch out for the red lilly beetle next spring/early summer, Derek.

When the penstemons have finished flowering you can cut back the woody stems but only cut back to a fresh shoot if there is one. They are not always very long lived but you can still take cuttings now if you give them the right conditions - i took one two weeks ago and its rooted already.

I'm in Scotland, so I only chop off the top quarter of penstemons, leaving the remaining stems to protect the plant from the frost, only cutting back hard in the spring, and as Steragram says, cuttings root very easily. You can root them in a pot of compost, or even a jar of water.