I planted one blackberry lily last year as a curiosity. I did not cut the seed heads off until mature, and when I finally did cut them off, I shook the pods over the area. Nothing more. I didn't cover them, I didn't even think about them. I have so many plants that they are somewhat of a nuisance. They are hard to pull, even as little fellers. I live in zone 6.
I live in the same zone as you, and I have no problem getting Candy Lilies to grow. I love them too. I always take the seed heads off though because I don't want them taking over. Once they start blooming they never stop, and the foliage is beautiful.