This is one of the best articles on starting lilies from seed. If your lily is an oriental, follow the instructions for martagons. I like to use ziplock bags with drainage holes poked in the bottom (sandwich or 1 qt. size). I use a soiless seed starting mix to reduce fungal problems. Just moisten the mix slightly before putting in the bag (or pot if you choose). Your pod won't be ready to harvest until it turns brown. Then, when you retrieve the seeds, you can screen them for fertility by holding each up to the light and if you see a "line" in the seed it should be good. Otherwise they are just chaff.

Here is a link that might be useful: Starting Lilies from Seed