It's not a problem to leave it until the weather begins warming up in spring, either. In fact, the dead foliage will help trap snow, which helps "mulch" and insulate the plant for the winter and keep it from heaving, getting pushed up from the freeze/thaw cycles it can have if not protected.
By
02/04/2011
In SE Michigan, I take the buds off until August 1st. After it's bloomed and the plant turns brown, around 3rd week of frost, I remove it down to the ground as much as I can.