Spoiler:
yes they do but it's not yet known in which way saruman dies. the most probable solution is that Gríma pushes Saruman out of a window of orthanc and he gets stabbed with this wheely thing down there... but PJ made about five different death scenes of Saruman, and even Lee doesnt know yet whcih will be used.
The only thing that seems to be sure is that Gríma is killed by Legolas.