Yes, I've got quite a few in flower as well as some in bud. You might as well leave them and just wait and see. It depends a bit on the weather. I might rush out and pick them if there's warning of a heavy frost. They usually open in a vase unless too underdeveloped.

Mine are still flowering and it was -5C this morning. Just leave them be or cut them and bring them in.

For pruning, just make sure that the canes aren't so tall that the wind will "rock" them over the winter. Try not to cut them until they go dormant as pruning them before dormancy will just stimulate them to put out new growth.
I usually leave the pruning until spring as there is a lot of energy stored in the canes that the rose uses over the winter. Prune in the spring...a good rule of thumb is to prune them when the Forsythia blooms.

O.K, thanks for the advice.