Well I noticed something is eating my seed pods, today I counted them as I do weekly and there were about 50 less than last week.
I have been seeing lots of squirrels and bunnies in the yard. I know I may have lost some due to them aborting but not 50.
Today I picked these, most of these have nice black seeds in them, do I let them dry natural, or go ahead and harvest the seeds?
The ones I seen today with white seeds in them, I left them out there hoping nothing eats the rest of them.

It's most likely squirrels. Either spray the pods with Critter Ridder or some other distasteful product (forget hot pepper-you just make Cajun squirrels). Alternatively, cover the seed pods on the plants with pantyhose or organza bags so the squirrels won't get at them.

I have no idea if the ones you picked will ever develop into fertile seeds. It depends on how far along they were when you picked them. I was told the seeds turn black fairly early on so that doesn't tell you that they are close to being ready. I think @sooby would be the best person to ask. In general it is best to leave them on the plant. I have harvested half eaten pods that I left on the plant and gotten viable seeds (the squirrel ate 1-2 chambers but left the other(s) alone.

I am thinking they are close to a few months old this was some of them on 5-11-2018. So I am hoping they were 2 months old, I will keep watch on my other ones, I put these pods in the window seal, until I know what to do with them. I am thinking of cutting the scape's down now, and putting them in sugar water in the sun. I have read that will help them mature on another post here.

Caught in the act its a squirrel, heading to the dollar tree soon for some bags to put over the remaining seed pods

If it happens again, you can pick them with a longer stem and put them in water. I have had seeds mature successfully in water when I broke the scape with the pod off accidentally.

Pollen to fertilization is about a day. Then it's 46 to 56 days from fertilization to seed maturity. At 15 days the seeds are still white. At about 20 days the seed coat is brown. A few days after this they turn black. This is from the physiology chapter in the New Daylily Handbook 2002.

I would not set them on a windowsill in the sun, or put the scapes in the sun. I'd keep them in bright light but out of the sun.

Darn, I was hoping that fat black seeds were a sign they were mature. I had a scape broken when I toured the garden today and it had three pods. One pod was very immature, I knew it was not any good. The other two were of mature size and lighter in color, and one was actually cracked just a little. I could see something had been eating on them, so probably squirrels and they broke the scape doing it. The squirrels were everywhere this morning.

I moved my pods, and scape out of the window seal, and into another room where they will get light thur a window with a shade covering it. Hoping that is enough light and that the seeds are good once the pods dry out some. I would hate to think I have lots most of my seed pods, this year. I am contemplating cutting the rest of the scape's with pods on them and putting them in sugar water with hopes they mature, and also maybe I will get new scape's with more flowers on them this year, that I can pollinate also. (Deadheading?) Who else deadhead their daylilies?

I deadhead my daylilies most mornings, sometimes if I pollinated the day before I will wait an extra day. I took a tip from Fred and started taking scissors down every morning and cutting the old bloom off about an inch or so up from the bottom of the bloom. That often results in a small cap beling left of the pod sometimes.
I like to use that deadheading time to select which ones to photograph and which ones to pollinate.