Yes, cut back your hostas for the winter. It's much easier to do it now rather than in the spring. There are lots of issues that could be causing yellowing in your hostas, if you have any photos or a more thorough description as to what you were seeing, that would be helpful to diagnose. I would not put any diseased looking plants in your home compost, send those with to your city or county compost/yard waste.

You will want to cut back your other perennials now or in the spring. What I like to do is leave anything with seeds that the birds might like or add some interest to my yard for the winter and remove anything that will be messy to clean up after the winter. (For instance, sedum gets mushy and is gross to clean up in the spring). One stipulation though, do not leave anything that was diseased or if you had any problem with insects that would overwinter in garden litter, remove any of that material.  

http://apps.extension.umn.edu/garden/diagnose/plant/annualperennial/hosta/index.html