Certified GKH Gardening Expert
These are all perennials and should die back on their own. I would hold off on cutting anything back until spring, just prior to new growth if there is still any dead foliage. You can mulch over the plants if desired.
For more info on their care, the following articles will help: https://www.gardeningknowhow.com/ornamental/bulbs/daylily/growing-daylilies.htm