Oh, this happened to me just a couple of months ago. First, make sure you've dealt with the heat/light issue. If the leaf is more than 50% damaged, then cut the leaves off, leaving the stem attached to the branch. Later, this may dry up and fall off on its own, but if it doesn't, leave it for the plant.
If the leaf is less than 50% damaged, leave it, trimming off just the crispiest part if you want. There will still be enough leaf there to do some work.