I let mine dry naturally but I really don't think it matters all that much. You could cut off at the base of the plant. I wouldn't recommend trying to pull them out of the fan unless they are totally dried out. That can allow bacteria to get in and rot the crown of the fan.
You can cut them off, say just below the foliage or lower if you'd like. In the hybridizing area I usually just let them dry out and then remove,but once I'm done hybridizing I will cut all the scapes that still have blooms (but no pods) or any rebloom scapes that way the energy goes into the plants growth and not into blooms. In the garden area I will cut the scapes after blooms are finished because they look better.
As Hemlady said, don't pull them out unless totally dried out. They will just come right out with little effort when ready.