Keep in mind that the seeds of hybrid lilies may or may not look like their parents. Species lilies will have children that closely resemble the parents. It can be hard to tell the difference between a hybrid and a species but if this is for fun it doesn't really matter.
Pods should be harvested when they start to go brown and dry out, usually the autumn.
Growing lilies from seed can require immense patience depending on the species. I just planted out seedlings of a species lily that I germinated five years ago. They were three inches tall and made a nice snack for the local rodents. [Other types will flower in two years][1] Other types will flower in two years.
[Growers propagate by scaling the bulb or starting the bulblets][2]Growers propagate by scaling the bulb or starting the bulblets that grow in the axils of the leaves of some species
You can start growing the seeds now if you have a well lit window that you can devote to the seedlings until spring. Or you can remove the seeds from the pods, place in envelopes that are located in a cool, dark area.
Good luck! [1]: http://www.lilies.org/mainhtml/04e_growingfromseed.php [2]: http://www.lilies.org/mainhtml/04d-propagation.php
