I'm not sure I know what you mean by pruning. The flower spikes that no longer have flowers can be cut off at the base of the plant or allowed to turn completely brown and then they are easy to pull out.
Some daylilies are evergreen and will stay green all year long. Some are semi evergreen and will keep some green leaves during the winter. Some are completely deciduous and all the gree leaves will die back and once they are all brown should be pulled out. The rhizome should be left in place and can probably remain so for 3-5 years when they should be lifted after the blooming period-usually about August- and divided with any old, dried up rhizomes discarded.