Certified GKH Gardening Expert
If it is still blooming with the first frost, they should die back. If it's annual, it won't return unless it reseeds. If it's perennial, it should grow again next spring.
Usually you don't need to do anything for perennials except perhaps mulch around the base if you are on the edge of the hardiness zone. You can cut back the dead stems or leave them till spring. Then cut them to the ground before the new growth starts.