Welcome to: Cathy's Hobby Garden
Soak daylily seeds to sprout them before placing them individually inside homemade seedling grow bags.   Boil water on the stove first and let it cool if using tap water (or use bottled distilled water).  Add 4 tablespoons of 3% hydrogen peroxide to a 1 gallon sized jug of water to make seed soaking water/peroxide solution.  The peroxide helps speed up the germination process. 

You can use plastic souffle cups with lids over them to soak your seeds inside, or 3 ounce sized plastic cups with snack baggies secured over the top with rubber bands.  I presoak my seeds first and wait for them to sprout before planting them in their grow baggies.  Change the peroxide water the seeds are soaking in every day or two in order to keep the water from becoming cloudy, and discard any soft, rotten or moldy seeds to prevent them from infecting healthy ones.

Fold each of the craft baggies over long-wise twice and then punch a hole in the bottom section.  A single punch creates eight holes in the bottom of the bag.  Presto - Now you have A GROW BAG!!!
Soaking Daylily Seeds

Don't start too many at one time or you'll have your work cut out for you.    Trust me - I learned the hard way!
Growing Daylily Seed Crosses Inside Under Grow Lights
Measure your shelves to figure out which size tubs fit best.
Make an indentation in the soil at the top of the baggie and place the sprouted seed in it.  Zip the top of the baggie closed to let the sprout take root (make sure you leave enough room at the top of the baggie, when you put your soil mix in, to be able to zip it closed).  Place baggies with sprouts under grow lights.   Check baggies daily to see if the sprouts have taken root.  You can very gently shift soil with your finger to check a sprout's progress.  Once the seed has taken root, open up the baggie and cut the zipper section off of the top so that more light can reach your seedling.  After the seedling begins to show some green poking up, sprinkle a little sand on the top of the soil around your seedling - This helps keeps gnats out of the soil.
Along with the craft baggies, you'll need a single hole punch, paper towels, some pea gravel or aquarium pebbles, and seed starting mix.  (I add about 1/4 part perlite and a little sand to the seed starter mix). You can buy a large bag of pea gravel at Lowes for about the same price as the small bag of aquarium pebbles costs, and there's a lot more in the pea gravel bag, so if you're planning to start lots of seedlings, pea gravel is the better investment.
Since daylily seedlings do better when they have more room for their roots to grow deeply, I came up with this easy method for growing my seedlings in 4" X  6" sized plastic craft baggies.  I found these baggies at Walmart in the craft aisle hanging next to the beads.  The baggies are not expensive...about $2 per 100.
You'll also need some plastic tubs to hold your seedling bags.
(I used 12 and 18 quart tub sizes and also purchased some of the plastic shoe boxes from the Dollar Store. 
After you have punched the drainage holes in the baggie, place a little gravel wrapped up in a section of paper towel in the bottom of each baggie so the water can leak out but the grow mix will stay inside the bag.  Moisten your grow mix before you put it in the baggies. 
It's a time consuming process to make the holes in all the baggies, but I think it's worth it for space saving reasons.  I like that the baggies conform to available space, so I feel like no space gets wasted. I also enjoy being able to see some of the roots growing. 
The paper labels deteriorate with watering, so after you cut the zipper tops off of the bags, it is wise to put a plastic label inside the bag with the seedling.  I use a paint marker to write the cultivar names on the plastic tags.  When these daylilies are planted outdoors, I will use metal labels and a numbering system to identify them.
When the soil starts looking a tad dry, I'm watering them with a weak solution of miracle grow. 

At last count I was up to 356 daylily seedlings, with more seeds still to be soaked and sprouted. 
What a hobby!!! 

For better germination results, seeds need to be chilled for a few weeks in the refrigerator (vegetable crisper drawer) before you begin soaking them.  If you purchased your seeds on the Lily Auction, the seller may already have chilled them.    To remain healthy and viable, daylily seeds should be stored in the refrigerator until you are ready to soak and sprout them. 

Using Cathy's Plastic Baggie Method