I don't know if you could duplicate the conditions indoors that would bring about seed set on your azaleas, or even if the hybrid florists types most often found indoors reliably set seed.

Azalea seed is formed in distinct pods which ripen approx 5 - 6 months after flowering - if the plant is happy. Indoors, you would probably have to pollinate with an artists paint brush or something similar, placing pollen from the male anthers on the stigma of the flower.

There is a photo linked of green, immature pods on azalea, when ripe (late summer, early fall after spring bloom on outdoor plants), the pods would turn brownish, begin to open at the top to reveal dustlike seed in quantity.

Here is a link that might be useful: