You certainly can and they set seed pretty freely. If you're harvesting it from your own plants then it's best sown as soon as it's ripe, which is when the seed pods have turned brown and dry-looking. Don't wait for the pods to burst open or the seed will be lost - it's very light and has evolved to be blown away on the wind.

You can sow directly into the ground outside, but you'll have better success sowing into pots where you can look after the seedlings more readily. Compost should be very coarse - a 50/50 mixture of grit and loam/soil-based compost (i.e John Innes type) works best.

Sow thinly on the surface of the compost and just cover with 1/4 inch or so of grit, then cover the pot wih a polythene bag or glass. Keep outdoors with the compost moist but not wet and out of direct sunlight. The seedlings should appear above ground the following spring and should be left in their pots for two full growing seasons before transplanting into the garden. Flowering size bulbs will be produced 4 or 5 years after germination.