Except for some like the OTs that can stay green through the first snowfalls here in Minnesota, I end up pulling most of my stems. I mulch heavily with leaves in the winter so leaving any part of the stem for marking is useless. I do mark mine with labels, though. Each gets a stick I cut from arborvitae or red cedars (resistant to rot) pushed in to an inch or so above ground level. Labels, made from mini blinds, get stuck right at the stick. That way, I can always feel around in the mulch or dirt for the stick, and know exactly where to look for the label.
But as far as the lily's health is concerned, cutting a dead stem makes no difference.