Doesn't matter much - if they're outside, they'll die back quite naturally during autumn and winter. Cut the flowered stems out when they're finished if you want, but its not critical.

Leaving them to die back lets the little black bulbils along the stems come ripe and drop off around the plant and some of these will grow to new lily plants - for free.

i normally take the old flower heads off and leave the stem till it goes brown then it just easily pulls off, if the stem is hard to pull out then it's not ready..

The longer you can leave green leaves on the plant, the bigger the bulbs will grow, and the more flowers you will get next year. Feeding it a high phosphate and potash food, such as tomorite, until the leaves die naturally will also help set it up until next year. If this was a plant from a florist, it will probably be very crowded in its present pot, and it would benefit from having its bulbs tipped out and planted in a bigger pot or the ground once the leaves die.