You can just plant them like any other seed, sow at twice their depth in seed starting medium. However, some daylily seeds may take weeks to germinate that way because they have seed dormancy, and you can get around that by chilling them in damp conditions in a fridge (or plant them outdoors in spring while the ground is still 32 to 50 degrees F), then moving them to room temperature after 3-6 weeks of chilling for germination. They have to have taken up some moisture for the chilling to work. There's an article about that here:
If you're starting them much before spring planting time you can grow them through the colder weather under artificial lighting.
You can store the currently dry seeds in a fridge or at cool dry room temperature until you are ready to stratify (damp chill) a few weeks before you want them to germinate.