Just put them in the fridge for a few weeks. There are a lot of different methods to start them inside, everyone seems to have their own way to do it. Myself i straight sow mine directly into the seedling bed in mid April. I'm in zone 6 Central Md to give you an idea on my climate.
Here is a link to an old thread:
The thread "Any tips for starting daylily seeds?" in
Daylilies forum
Good luck
