There is no single answer to what you "should" do... it all depends on what you want to happen...
Do you want to have a fish tank with a pair of fish... or do you want to have a breeding project?
If you simply want a pair of fish, then do not do anything special. Just watch and enjoy... If a few of them happen to get as big as the ones your LFS sells, take them in and trade them for food...
If you want to start a breeding project... educate yourself on how to do that... It's not super complicated but you will need at least one other tank, probably a couple others. You will also need something to do with the fry. Dempseys can have a lot of babies, so before you invest to much find out how many you really think you can find homes for on a regular basis...
Don't feel guilty if you just let the parents eat them or let them otherwise die. In the wild many thousands of fry are born for every one that survives to adult size...