I garden in zone 8, and we don't leave winter squash on the vines until first frost!! :) It really does depend on your zone and on the season you are experiencing in that zone. I planted my butternut very late, and am almost ready to harvest 3 huge squash. I'll feed it again and let it continue, there are probably 12 squash on the vines and normally I get up to about 30 before frost. Hopefully yours will keep on going!!!

I had this question myself recently:
http://forums.gardenweb.com/forums/load/gourds/msg071821303896.html?4
I found that although my delicatas were hard and the color seemed right, they were not quite ready. The best course of action is to cut one and eat it--only way to know for sure!
You do not necessarily need to leave till frost, but for me in zone 7 I will be waiting longer to ensure my squash will be sweeter and last longer.
To avoid mildew, I placed straw beneath the large winter squash I grew last year. I grew the delicata on a trellis, which is working great.