Karen, my daughter's garden in Salt Lake City is zone 5 or some say 6 and I've grown some daylilies there for years. Just planted several new ones for her there this spring, in fact. I also lived there until 2002 and had them in my own garden. So I'll venture to answer you - to be honest, I'd never cut off any daylily foliage while it was still green. You can always remove yellow or brown leaves to keep the plants tidy, but leave all the green alone.
The green leaves are making food for the plant. Late in the season, the plant is growing more roots, so that it will put up more fans and make a bigger clump next year. I generally left the dead foliage and cleaned it up in the spring, as you said you do, too. Why not, it just helps to mulch the plant over the winter. I also always piled up leaves and some extra wood chip mulch around the bases of the daylilies and iris as well as other perennials to help them survive the winter.
Unless you anticipate more growth, and some re-bloom on your daylilies, I wouldn't fertilize them now. Especially in zone 4.
Umm, just curious. How come you didn't post this question on the Daylilies forum?
