When there's no time to plant your daylilies in the ground before first frost, you can "heel (sp?) in" your bare root daylilies. I read about this technique, somewhere, a few years ago, and I can't seem to find a link on the web
but it has worked very well in my Zone 6a garden!
So to heel in your bare root daylilies, determine a good temporary location in a garden for overwintering. I use my veggie garden.
What you do is, cut the foliage back to about 4 to 6 inches long. Then dig one shallow hole per daylily at an angle, with the deep end at about 4 or 5 inches (or more if you like), and you can space them side by side, a few inches apart. Then lay each daylily in, with the foliage sticking out of the high end, being sure the crown is a couple inches down from there, in order to be covered with soil. Lay the roots straight in to the deep end. Then simply fill in with soil, making sure there are no air pockets between the roots. Water them in, and then cover them entirely with at least a 3 inch layer of mulch, shredded leaves, compost, or straw. The thicker the better. You'll see new growth as Spring approaches and the temps get warmer and warmer, and when the thaw comes, dig them out and plant them in their permanent locations.