I've dried them. They lose that deep burgundy colour, but still stay red, only lighter. I've discovered they can rehydrate in humid conditions.

I've only dried them hanging upside down, they will not dry with that graceful arch if dried upright. Rather, they wilt completely before drying. I think that to get a bit of an arch, dry them upside down for a few days then stand them upright to finish drying them. If they start to droop too much, then hang upside down for a while longer before setting upright again. A dark, warm place with good ventilation, like a fan blowing close by - will aid in quick and thorough drying. And strip all the foliage before hand as it's not nice at all when dried - just brown and crispy. Don't bundle too many plumes together - 7 is plenty. If you bundle them and use a rubber band to tie the stems together as the stems shrink in size (as everything does when it's drying) the rubber band will still hold. If you use string or twine, even tied tight, as the stems shrink they may fall out of the string.

My only concern is that it might be too late. If the plumes are showing some white seeds (as mine are) then chances are they've passed the point where they'll be useful as dried. I dry a lot of stuff, and all of it has to be picked at its prime or just before its prime (like strawflowers). If picked too late it tends to shatter once fully dried. One of the most common questions I get when selling dried arrangements is how long will it last before it falls apart, yet picked at the right time and properly dried will last a long, long time.

Good luck!

Thanks Pudge, for the detailed instructions.
I was wondering about the shattering possibility. If it's too late for this year, I'll try to remember to pick them earlier next season. I am planning to grow this plant again, as it was so easy and put on such a good display.
I saved your response to my clippings. Anyone know how long the posts will last there?