You may be able to get some viable seeds from them, but the pods are VERY immature at that stage. You could try leaving them out on a windowsill or on a paper plate on a table to dry until they split open. They need to be kept in the open air though.
Next time, you'll want to leave them on the plant until they start to dry out and split open. There are seeds inside the pods. They look like dark brown or black wedge shaped (kind of like an orange segment) seeds. You can plant the seeds outside this fall where you want them to come up, and they usually do! They need to be over wintered in soil thought. Or you can use a stratification process, which I haven't had a lot of luck with.
I've done this with Iris before. The resulting plants took 3 years to flower. It's been 6 years now and they are dividing by themselves. All of the blooms are different, but mostly purple and small. One is huge with white and purple! It was a very fun project! All of these irises are from seed. 6 years old.
I want to try day lilies this year, I have nice pods on them this year. I also have lots of pods on my hostas.