I would say its mealy bugs. If you look under some of the cottony stuff you may actually find one. This is where they hide their eggs. Here's one photo that looks like yours.
http://herselfshoustongarden.c...
Just google mealybug and then click on the images for the photos.
I've never seen them on daylilies, just other plants I had and I has plenty of mealybug destroyers (look very similar to mealybugs, this is their disguise ) to eat them.
If it's only on this one or just a few you can dab alcohol on them to kill them. They can multiply rapidly and if they take a liking to daylilies they could harm them because they are sucking insects just like spider mites.
If you have lots of ladybugs around see if you can catch some and put over by these daylilies.
Oh by the way, they like plants with lots of nitrogen (just like aphids) and daylilies have high amounts of nitrogen in the foliage especially if fertilized regularly.
If you do get a bad infestation then get a systemic insecticide that will work on them (Bayer Complete) or try an insecticidal soap.
