The reason I asked about foliage dying back was to get an idea of how the daylilies handle the cold that they do get there, because in colder climates they would all die back, whether registered as dormant, semi-ev or ev. If yours don't die back much then the seedlings may be OK outside, especially if you could pull the pots back against a house wall on colder nights. If you decide to plant them in the ground they are more protected but less portable. If it gets too cold they may die back and go dormant but not necessarily die.
I did garden in zone 8/9 in southern England for the first part of my life and there I don't think I would be worried about the seedlings overwintering safely outdoors but I didn't grow daylilies back then (well, I did have one I must admit).
It would certainly be useful to have a cold frame if you can make one relatively inexpensively but for just a few plants it might be easier to just bring them indoors or otherwise protect them if you do get much below freezing (I don't think a few degrees below freezing would hurt them).
