you need to leave them to ripen in the pod on the plant. the best person to ask is Wylieintheazores as he grows them for registration.
all I have ever done is pop the seed into compost in a pot in the cold frame and left it over the winter. the resulting flowers I got look just like the parent one but it was a species rather than a named variety.[in my case]

OK thanks. That's very helpful.

When the seeds ripen, dry them for 2 days and put them in the refrigerator. Around Feb., put them in water in the fridge. Check every day for signs of germination. After another 3 weeks, sow. Temperatures between 60-70°F work best. I put my germinated seeds in large plastic cups to grow until the root gets to the bottom and then plant out.
Since you live in a cold area, you can do as Seaburngirl does, but avoid letting them freeze.
Even if they are self-pollenated, they are genetically different than the parent plant.
When the pods you have start to turn a lighter green, check every evening to see if they are starting to open. If you delay, they will fall on the ground. Open the pod and pinch each seed. It should be firm or just a touch soft. If you can pop it with just a light touch, it wasn't viable. It will take 2-3 years for the first flower (although if you start them really early, end of December, they may bloom in just 8 months).
Remember it will take several years for the flowers to become what they will be. They can be different at the beginning of the season than at the end. But they will standardize after a few years.
Good Luck!

If you really want to get adventurous, here is where I got the method I use:
http://ezdaylilies.com/OTRseeds/OTRseeds.htm
This will also work for any large seeds.

Thank you very much. Very helpful information.