Raising daylilies from seed is relatively easy. Remember though that anything you raise from seed will be different than the parent sometimes much different, you can get an orange daylily from a pink parent or only slightly different a light yellow from a yellow.
After crossing a daylily you should get seed pods forming, green squat pods. When the pods begin to turn brown and crack collect the seeds, they should be black not brown or white. Now you have two choices.
My way: I put the seeds in a paper envelope and store the seeds in a cool dry place until late winter. Next I put the seeds in between wet paper towels in an aluminum pie plate place inside a plastic bag and refrigerate for 3-4 weeks. Then I plant the seeds in flats or pots and grow them in my greenhouse to plant out later.
My Grandfather's way: My grandfather lived in Maryland. He planted his seeds in rows directly in the ground in the fall. However he fumigated the soil first to kill all weeds. If you plant in the ground weeds may grow faster than the daylilies. Lastly remember that it may take 2-3 years for the daylilies to bloom. But there is nothing more exciting than seeing your seedling bloom for the first time!
Daylily seedlings in the greenhouse