Winter squash can be harvested when the color seems right (yellow for Gill's!) and the skins start to toughen up a bit- they shouldn't feel like a summer squash- as the skin thickens up to provide protection for storage.
Keep in mind too, that many winter squashes will get sweeter in storage. So if after harvesting, you don't find them to be as sweet as you would like, then just give them some more time in storage. October is really the shining star month for harvesting winter squash (dependent on location of course!), so keep that in mind too!
I thoroughly enjoy pumpkin. Pealing is a problem but @flowerbug told me too bake it first so I will next time. I just love it in soup all my animals love it tooThat is why Native Americans grew them, for winter storage and eating. Btw, My neck of woods is one of the biggest pumpkin growing areas in our country.