If you are talking about Fortnight lilies, I think also called morea or dietes, The seed pod will turn brown and dry before the seed is ready. They are not fluffy seeds, so I don't think you have to worry about them blowing away. In my garden, they self-sow all over the place, so I imagine they will be easy to germinate in moist soil.

It is much easier, though, to propagate them through division. They multiply like rabbits.
Renee

Thank you so very much, Renee. I didn't know they multiplied like rabbits (made me giggle a little to think of that). I would just like the novelty of growing some from seed, my kids are enjoying that process and I'm very happy to pass the love of gardening down to them. Thanks for the tips and I'll be on the lookout. I'll update if I have any good news.