I live in Zone 5 and just started with lily propagation. I successfully fertilized the lilies because I got beautiful seed pods. However, I went to check them today and they were almost all gone. These lilies bloomed in late April BTW. Everything I found said let the seed pods develop on the stem and collect 6-8 weeks after blooming, but mine are not going to last that long. How do you protect these?

What type of lilies are you growing? Are they Liliums?

Also, when you say "almost all gone", do you mean the seed pods have disappeared, or that they have split open and the seeds dispersed?

I'm confused also. Seed pods follow flowers. They don't grow on the stems of Lilies...bulbils sometimes do. Is that what you are referring to? Seed pods can be covered in a baggy ( or similar) to prevent the loss of seeds until ready for harvest.

Sorry. I'm attaching a photo. These were the (Asiatic) seed pods, or what I was assuming were seed pods yesterday. Today...they are completely gone. They're not laying near the flower...they are completely gone.

Okay, I can see three seed pods forming in that photo, with the most advanced at the top right.

If these have simply disappeared, I would suspect wildlife - they don't just fall off. Normally they will develop over a couple of months, then turn brown and start to crack open from the top in order to disperse the seeds.

Is there anything I can put around them to protect them? I know it's really just a flower, but this was something my daughter and I did together during the quarantine home schooling and I would like to see it through. Should I transplant it to a pot where I can keep it safe? I suspect deer...but I'm not sure.

I'm afraid I have no experience protecting Liliums from deer, but I have moved this thread to the Lilies forum where other growers may be able to provide suggestions.

I would not recommend transplanting it at this time, or you are liable to lose the seed pods.

I'm sorry it sounds like you had something eat your seed pod. There are a couple things you can do.
1) use a product called Planskydd to deter deer/moose/elk/rabbits from your garden. This product does not wash away for 2 months. You'd reapply just before the 2 month mark.
2) I have heard people have protected their pods by placing mesh bags over them, carefully, with success. https://www.amazon.com/dp/B072KKTY1P/

Or if you have a fabric store in your area (like Joannes Fabrics) get a yard of tulle and cut to the size you want. You may want it over the whole stem. Use the Plantskydd with it to deter the deer. It is a bit expensive if this is a one- off use. Tulle is about $4 a yard here.