Brian,
This is what I did, I put them on wet paper towels then folded the paper towel up and put in a zip lock bag. Label the bag!! Then check every few days for germination. Then place the germinated seed in a 4 inch pot, cover lightly. Wet the soil first, I use HP soil.
Some of the seeds were spendy but cheeper than the parent daylilies. All of my sellers had the seeds in the frig. before sending. So the cold stratification was done. I have done this only once before with good results. I have never winter sowed but, will try this year but not with my daylily seeds.