You can either start the seeds indoors under lights, or plant them outdoors in the garden in spring. If you start them indoors, they need to be about twice their depth in the seed starting mix. If you sow them outdoors they can be a little deeper. Daylily seeds tend to have seed dormancy which means they germinate erratically over several weeks or months. That doesn't always happen but you can stratify them to avoid the possibility.
Maybe you could tell us a bit more about your experience with starting seeds and where you are located so that we can tailor the answers to address your concerns.
Edited to add, there is a specific forum here for daylilies that may be of interest:
http://garden.org/forums/view/...