It depends on the plant :-) I've divided some in the middle of winter (eg: hostas, daylilies, Siberian iris) with no ill-effect. OTOH, both agastache and penstemons tend to prefer really good drainage and sometimes have issues with our winter weather. Agastache in particular I would tend to leave be until spring and drier conditions.

FWIW, the rule of thumb in the timing of dividing perennials is to divide early blooming perennials in fall and later season perennials in spring. But that's pretty general and there are always exceptions.