You are not "supposed" to dead head them. Nature doesn't do that and they do fine! If you need to prune them, you do want to do it soon ... before they set flower buds for next year.

You might want to read some of the posts on the Azalea/Rhododendron forum. Some of them have some very good links to caring for Rhododendrons.

Good luck!

Here is a link that might be useful: Azalea and Rhododendron forum