I've cut them 3 inches below the prolif once the scape is bloomed out and put them in water just up to the bottom of the proliferation to stimulate root formation. Once the scape has browned too close to the prolif I will either pot them up or put them in the ground depending on how close to frost we are.
I also saw an article somewhere recently (maybe the Daylily Journal?) about air-layering proliferations similarly to how you would with a woody plant like a camellia.
I thought I would share my pictures and the results from air layering a prolif on LILLIAN'S LIES AND ALIBIS.
I didn't take any pictures when I was putting this together because it was starting to rain but I smeared a small amount of cloning gel on the bottom of the prolif before wrapping it in foil and adding some pro-mix.
All in all this was the growth over a period of 7 weeks starting with no roots on the prolif.