Typically, pruning waits until spring. Especially with Russian Sage, there will most likely be some winter die-back at the tips of the branches. This will occur whether pruned or unpruned. However, if you prune this fall, you will wind up having to pune again in the spring to remove the winter die-back -- only now you will have a lot less bush remaning when you are done.

Patience, my friend ... patience.

IronBelly