Julespa, I had the same question and spent a while searching the forum. I lost the link, but I did copy part of a very helpful posting from Anna Lisa in Quebec, who grows them indoors from seed. I'm pasting from her here:

"Let the flower die and then it will dip the inner tube that you see is the seed that will get bigger leave it on the plant as long as possible. Then when the plant goes yellow it time to cut the flower or seed at this time let it dry for a couple of months then plant the seed give it about 3 weeks to a month.it looks like grass coming up I have about 5 pots of seed planted it looks like a pretty house plant. Also you will have to do this for 3 year before you get flowers. For me it worth it i paid my cally 7 bucks each that why I grow them by seed. if you want to see pictures of the seed e mail me at vlorna49@videotron.ca Cally lily is one of my favorite flower if you need any more information just e mail me. I hope this help Anna lisa."

I hope you get some more answer too.