nancycze said: I have some azucena golden stone lillies.
I am not familiar with this name or type of plant... "golden stone lilies"?
Nancy, if they are the daylilies Evan linked above, it would depend on your location, and your preference. Here in Ohio, I rarely cut daylilies back before winter, instead, I clean the beds up in late March or early April. I don't have much mulch, so the old foliage gives a bit of winter protection for the plsnts. But, other people in my area do cut foliage off in winter.
If they are a type of true lily, I can't help, as I know very little about that type if plant.