#2 - Is it to late to plant?
I just received my Asiatic Lily bulbs last week through mail order and planted a few days ago, so I would get yours planted ASAP. Lily bulbs aren't as forgiving of being out of the ground as some others.

#3 - At what depth do you plant the different size bulbs? I'm wanting to
plant as close together as posible so I can move them next year.

If you're moving them next year, it won't matter that much. I'd plant them about the same depth as they were when you dug them out.

#4 - What time next year do I transplant them?

Transplant in the spring before they get too tall to work with. The green is what feeds them so you don't want that to snap off. If you have the shorter varieties, maybe that's not as big a concern. If you don't get to them on time, I'd wait until they die back in late summer/ fall to move them.