Nothing at all :-) The plans are just winding down their growing season and the yellowing and drying of foliage is the normal course of events for lilies and other bulbs.

Lilies do not bloom in February unless forced into bloom at that time by greenhouse conditions. These greenhouse conditions alter the bulb's internal calendar at least for that season, causing them to grow and flower earlier than normal and also to die back and go dormant earlier than usual. If you plant them in the ground now, they should come back next season and grow and bloom at their normal time. Or you can just leave them in that container and they should do the same.

Should I trim the leaves off?

You can cut the whole stem down after all green has gone. While there's green the leaves are feeding the bulbs.