Yes, keeping the leaves dry prevents any spores on them from germinating because they need several hours of leaf wetness to do so (the number of hours required depending on temperature), and hopefully over time they'll lose viability although keeping plants dry won't stop an existing internal infection if the plant was shipped with it. Indeed spores can be spread from plant to plant by rain splash although airborne spores on the wind are the primary method.
You're certainly correct that light freezes are unlikely to kill daylily rust. I once tested this in my garden and even after -8C (17.6F) I found a daylily with living leaves that had survived sufficiently that they were able to be infected when I tested them.
Of course all bets are off if there are patrinia plants in the vicinity since that potentially enables the full rust life cycle to kick in, allowing the fungus to persist through extreme cold. Still no reports of that happening in North America though as far as I'm aware.