I am glad to read that you are interested in experimenting with hybridizing. First off, I think you should just think of this as an experiment. You could get all kinds of advice, but in your climate and region the results may be different. Have fun with this experiment and don't expect too much (that way you won't be disappointed if it is not successful on your first try). And you might just be pleasantly surprised and get a good seedling or two or more ...
I live in hot, sunny Florida. We have very mild (warm) Winters here. I have been hybridizing and growing seeds for a few years now and mostly have success. Here is what I, personally, do:
1) Wait until the seed pod is browning and crispy when it starts to open and collect the seeds before they fall to the ground.
2) I separate them by flower cross into paper envelopes (which I label with the cross) and let the seeds dry for 3 days. They should harden in those 3 days and be ready for either planting or storing in the refrigerator.
3) I put them in the refrigerator (NOT freezer) for at least 3-4 weeks (often they stay in there longer until I have the time to plant them). I store them "dry" in small plastic ziplock baggies which I label with the cross (pod parent x pollen parent).
4) After the 3-4 weeks, I plant mine in styrofoam cups and place them in my window sill to germinate. Germination usually takes 1 to 2 weeks for them to sprout ... BUT ... some can take much longer (months!!!).
I wrote an article here on ATP about planting seeds that may give you some ideas:
If you get months of freezing temps in Winter, it might be too cold for a small seedling to survive. I like mine to grow for about 6 months or so before I plant them in the ground. That's how I do it. I aim for success here in my zone and I don't get the freezing Winters that most gardeners get. My success rate from seed to seedling to blooming daylilies has been pretty good so far.
Since this is an experiment, see how many seeds you get first and then you could split the seeds up and grow them different ways to see which way works best for you. I also suggest you store a couple in the refrigerator as back-ups in case the experiments fail. If you find the best way to germinate and grow them, then you can use the back-up seeds to grow more seedlings! Good luck!
Check out the monthly daylily seedling thread here on ATP. This thread has the June seedlings:
The thread "June 2015 Seedling Blooms"
in Daylilies forum