I do what Sue said. If the foliage is really ratty, I cut it off and it grows fresh new foliage. With over 250 cultivars, I don't have time to do this to all of them right after blooming. In late fall, I try to cut the foliage off as many as I can get to so they are ready for next spring.
I also think (just my opinion) that by cutting the foliage back in the fall, it helps prevent disease/rust issues.
Someone mentioned (forget where) that they leave the foliage because that is food for the roots. I had never heard that before for daylilies, only tulips/daffodils and such. Maybe someone can clarify that for me.
