I have read that many people do not dry or cold-stratify their daylily seeds, but instead plant them right away and they germinate just fine. I believe that to be true.
I think the reason that most people do dry for 3 days and then refrigerate is because they are not planning to sow them immediately after collecting them from the pods. By drying them, you prevent future mold from developing if you are going to be using cold (refrigerator) storage. The cold storage is believed to allow the seeds to stay viable for a longer period of time. I always dry mine in paper envelopes before ultimately storing them in small plastic ziploc baggies. I have a crisper bin that has several gallon baggies filled with individual crosses in small ziploc baggies. I've had some stored that way for a number of years and they still germinate just fine when I do plant them.