Susan,
It wouldn't hurt to soak them. And by doing that and cutting the foliage down to a nub (so to speak) you have a greater chance of getting rid of it (plus proper disposal of debri). But as far as I know there is no cure for rust. Headline and Heritage fungicides are said to be a possible curative for it but it's not definite. Even if it did kill it off you still have spores that can be blown in from miles around or be lurking in your own garden anywhere waiting to be blown to the daylily. And if there is an opening for it to get into it can re-infect the plant.
