A lot of them are self grooming if you are patient- they eject the dead blossoms within a week or 2. The proper time to prune azaleas and many spring bloomers is shortly after they bloom since they set their flowers for the next yr's show on wood starting about midsummer. If it's scraggly and you're wanting to make it busier pinching would probably help. If it's too big and you want to scale it back in size, now's the time to take it back. If you're happy with the size and fullness, just let it be, unless the dead flowers bother you. Some varieties don't do as good a job of self grooming and may need some help. A rake over the surface is normally all it takes.

thanks tamelask-- I think I'll just leave them be. Which I think is what most plants like anyway, as long as they are fed and watered. LOL)