This is a frequent question here. You might read through some of the prior posts, of which I'll link a pertinent one.

It's warmer in my zone. Lilies tend to come up when they're ready. Asiatics are already up. The 'Cancun' that I couldn't resist at Walmart for the same reason that you gave are 6 inches tall. We still get night temps in the 30s sometimes. If frost threatens, I cover them with heaps of pine straw.

Potting up until later is an alternative if you expect any late hard freezes that may kill newly formed buds. It's only the first week in March, but they need to be in soil, somewhere, making roots.

Nell

Here is a link that might be useful: Lilies

Lilies can be planted any time the ground isn't frozen, as long as you handle the roots carefully. You're going to be burying them deep enough that 2 or 3 inches of growth are going to be covered, anyway, but you could put a little mulch on top, if you like. It certainly wouldn't hurt them. They will slow their growth down dramatically once they're outside in the cold ground. The thing to be most careful of is overwatering. They don't like to be sodden and cold. If the ground isn't frozen and is well-drained, they should be just fine.

Jeanne