In the Northern Hemisphere the Iris are dormant now. You might even see new increases. Clean off the old, mushy leaves to prevent the growth and spread of various fungal diseases. The dead leaves are also perfect hideouts for insects.
Evergreen boughs or straw make a good winter protection for Iris, particularly in areas with especially harsh winters. Apply after freeze-up. Heaving of the soil, caused by freeze-thaw patterns, can result in the dislodging of the rhizome. Avoid mulches that will trap moisture around the rhizome, as this environment can induce rot. Remove winter protection promptly in the early spring when new foliage begins sprouting.