Well, honestly I'm not sure. Lily bulbs are scaly bulbs when you get them. So, no I don't think you should remove any scales.
When you dig down to divide the plants after they die back, you will see whole new bulbs that have formed and it will be fairly obvious where and how to separate them.
Lilies can also form bulbils or bulblets ?? on their stems if I remember correctly. It's quite a while since I grew them in my garden in Utah, so hopefully somebody else will chime in here on the scale question.
