Dead head them, leaving the heads on will just take up energy from the plant.

What Vincent says is true in theory. We don't deadhead ours as a deliberate practice though they will get tidied later. We don't find that it makes any difference at all and ours are thriving.

some times I do and other times I dont, and like BA says they dont seem to suffer. it just depends on how tidy you want it to look.

I think it deadheading is good if the plant is in 'alien' territory, e.g. Primula on heavy clay. If it likes your garden, your are quids in. I don't try most Primula anymore, apart from Primroses etc.