You can plant Lilies any time if the ground is not frozen - the sooner the better. Lilies' bulbs never go dormant like other bulbs, so they will get dehydrated if you store them for a long time. Leave the sprouts on - they are the only this year growth for your Lilies. If the sprouts are less than 4", they will be completely covered with dirt.

For more details see lilies.org.

Good luck!

Put them about 6" deep. It is harder when they have sprouted but that often seems to be the case. I try to hold the little leaves on the sprouts altogether when I put the dirt around them but don't know if it really helps. When you buy bulbs next winter store them somewhere cool-like a fruit cellar or the fridge until you are ready to plant them. Then they might have a better chance of not sprouting so soon.
The natural time to plant and move lilies is in the fall. So when you buy bulbs in the winter they have often been precooled. The minute they hit warmth they start to grow. If you ever buy any at a department store get them as soon as they come in and take them home to put in your fridge.
Good Luck!

Oops! is my immediate reaction after finding this thread.

I'm another lily newbie who bought lily bulbs from a store in May on a whim, not doing any sort of research before hand. But, now I've got 'em, so I'll do my best to keep them alive.

I have two Tiger Lily bulbs, with about four inches of green coming out of both (didn't notice they had sprouted). I will plant them tomorrow. What else should I do to make sure they survive?