I just pinch off the seed pockets on most of my lilies. I always collect a few to sprout but unless you want to try to start the seeds, I would recommend just nipping them off. I have read that the plant uses energy to form seeds - if you aren't going to collect/use seeds, why bother? Let the plant's energy go into building reserves in the bulb for next year.

DO NOT cut them back - let the stalks grow till frost. It will make your bulbs strong for next year, and yes, they should come back. Some types multiply like mad (asiatics), some are slower (orientals). Good luck.