Yes, GENTLY apply the pollen! No need, and no advantage, to rubbing. Rubbing can damage plant tissues.
When I can, I prefer to dab pollen directly from freshly picked stamen. With the anther (holding the pollen) being so dangly, it's impossible to damage the stigma. Sometimes you'll swear nothing is coming off the anther and on to the stigma (and you'll be tempted to apply more pressure), but just keep at it. Depending on the type of lily and age of the flower (and the amount of pollen available), I've been known to "dangle" on a single stigma for an entire minute. It really does make a difference. Also, sometimes you will think there is no pollen left on the anther, but somehow there is!
