Answer: As a general rule, in late fall or early spring, remove any stems and foliage that have browned and dried due to frosts.You will find that some perennials maintain a rosette of foliage over the winter and this can be tidied gently in mid-spring, being careful not to damage newly emerging growth. Some gardeners prefer to leave seed heads and stems on for the winter as a display of sorts and to feed wildlife, others prefer to clean it up before it becomes ratty looking. It's a matter of personal preference for the most part, although if you have had severe pest or disease problems it's a good idea to clean up in the fall rather than allow the material to stay in the garden.
All of the plants you mentioned except Russian sage can be trimmed back very short in either late fall or spring; Russian sage (Perovskia) is pruned in spring. It is semi woody and can be trimmed back to remove any winter kill (start at the tips and work your way back to live wood) and then lightly for shape each spring -- it will branch in response to trimming, but don't remove more than half of the plant unless it is already winter damaged.
Ornamental grasses are normally trimmed off as short as possible in early spring, being careful not to damage new shoots. You can also trim them off in late fall, but most gardeners consider them ornamental during the winter and thus wait.
Some additional perennial plants for sunny to partly sunny spots would be daylilies (Hemerocallis), salvia, veronica, sedum, coreopsis and perennial geraniums.
Winter care for hardy perennials usually consists of applying a mulch of natural material such as shredded bark or half finished compost in late fall, spreading it around but not over top of the plants. By spring this will have decomposed and settled a bit so you may need to top it up again to help control summer weeds. A layer of about three inches is good year round.
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