Up to you. We don't usually bother until later, thinking that the dead flowers protect the new buds in winter.

I leave them on until the bushes get trimmed in early spring.

I also leave mine on until the spring trim.
they can look stunning in the winter with hoare frost etc.

But if you decide to dead head then just take the spent flower and not any of the stems lower down as next years flowers will be forming in those buds.

I always leave them to protect the spring growth.