Don't know about the nandina but cut the Russian sage back almost to the ground.

No personal experience, but I doubt you could hurt Nandina by light pruning. As for the Russian Sage, I usually wait to see how much of the tips have died back, and then just cut them back that much. You can take it down as little as 6", I've read.

Some of my nandina look rough, too. My boss said to cut them back severely, that they should come back better than ever. I think they had a lot of winter burn, they're under pine trees on a western exposure & got alot of wind-the only other winter dieback was several camellias in the same area-I wish I could remember which variety was which-I had some that were planted only 3-4' away that were just fine.

Some of my camellias look bad too and one young Magnolia looks awful but does seem to be alive. All were fine until the nights with the hard north winds and single digit temps.
I'm not cutting anything until the weather settles. Whenever that may be ;o(