I have tried pollinating my own Daylily. Collecting seed is pretty basic. In the summer about two weeks after a bloom dies, the seed pod behind the bloom will start to dry out, and crack open. Inside the seed pod, are little black seeds.
I live in Zone 4. I will typically put the seed into a zip-loc bag, and store them in the refrigerator until January. When I'm ready to plant the seed, I put it about 1/8 inch deep in potting soil. I mist, and then cover w/ plastic.
In two or three weeks, I will start to see sprouts.

In 2 - 3 more weeks, They start to look like this.

In May, I transplant into the garden, typically in a spot that has some shade. I will move them into the sun in another summer. In 2 - 3 summers and you will get blooms.