Generally Russian sage is pruned in late winter/early spring the same way butterfly bush is pruned - about 8" to 12" tall.* There are a couple of other ways you can prune it though.* If you find yours is too tall and lanky you can prune it by up to half now after it blooms.* If you prune it just before fall frosts you risk freeze burn to the roots.*
You can also prune them as you would chrysanthemums.* You can cut them back by half when they're about 12" tall, then approximately every 2 - 3 weeks you can use sheers and shear them off by about 2" until the 4th of July. That will help the plant to stay fuller and have more blooms. If you start the pruning early, and trim it back more than 3 times, the plant will start to spread from the sides. Depending on the size of your garden and the space you have for it, you may want to keep that in mind.
When weeding, the best way to make sure you are removing a weed and not a valuable plant is to pull on it. If it comes out of the ground easily, it is a valuable plant.