Hi Red,
They are easy to collect. After the lily is done blooming pods will develop. They will be green and plump up and not fall off if fertilization happened. When the seeds are ripe, the pods will crack open. For the life of me I can't remember if the pods turn color or not, but they crack open when ripe so just don't collect before then : )
The seeds are papery disk looking things. With lilies many of the seeds will be no good. They will all seem very light and airy, but only the ones with a darker hard center are good. So keep only those.
Remy

This may seem like a simple question, but can you plant the seeds later?

I'm confused, since people plant lilies from bulbs... Will planting from seed instead of bulb yield the same results?