It would be best to wait until the seed pod turns brown before harvesting the seeds to be sure they are viable. Also be aware that the lilies that grow from the seeds may not match the plant you harvested them from. Growing lilies from seed is a long process…here’s a couple of links that you should find helpful:
http://www.rhslilygroup.org/aboutlilies/page4.html
http://www.bdlilies.com/propagaton.html