You will want to wait untill the pods are brown and start to crack open. The seeds should be about 3/16" in diameter, shaped kind of like a fat teardrop, and will be flat and papery. They are about the same color as cornflakes =) Fertile seeds will have a bump in the middle, thats the 'embryo.' You should get several hundred seeds from each pod.
btw, just fyi, I hand pollenate my lilies, or I don't get many fertile seeds. Last year, left to their own devices, I got one pod that was about half fertile and half sterile seeds. This year, after hand pollenating last summer, I got four huge pods with nearly all fertile seeds.