I don't know about lilies specifically, but you can harvest the seeds of most plants well before the pods burst open. Seed viability may be somewhat reduced, but you can get reasonable germination. I've harvested iris pods that were several weeks short of maturity (snapped off courtesy of neighbor's dog, kids' balls, wife's cat, my own clumsiness, etc.) and still gotten seedlings. The key is how far along the seeds are at the time. If they've reached the "hard dough" stage (where you can squeeze the seed and no liquid comes out), it's worth it to keep and try to germinate them.
