Yes, I would prune out the dead branches. It will tidy up the plant and might stimulate growth buds. If you're not in an area that is banning water outside, I would try to give them a drink once a week through the winter unless they have rain. If your area is banning water, save your dishwater, water from the sink you ran for it to warm up, etc. and use that on the worst hit ones. Just don't put water with bleach in it on your plants.

Pruning off dead stuff is important, but you do not want to stimulate dormant buds at this time of year or during this wicked drought. Be SURE that anything you prune dead...or wait until late winter or spring to do a heavier prune.