You don't say what kind of lily this is. Some (Asiatics, Trumpets, a number of the species) will show a leaf above ground within one to two months from sowing. Others (Orientals for example) will first produce a small bulb below ground, and their first leaf in the spring. When you sow them will depend upon their type and whether you can provide cool, frost-free but brightly lit conditions over the winter should they need it. The instructions provided at David Sims' site (link below) should help you along.

As for harvesting, pods can usually be harvested at any point after they begin to soften and yellow, certainly by the time they begin to split open. If a hard frost hits before this, or your autumn is very wet you can cut the upper part of the stem off and continue the ripening by hanging it upside down in a cool, dry spot.

Good Luck

Here is a link that might be useful: Seed sowing instructions