I have let my calla lily blooms die a natural death--have not removed the blooms as they faded. The blooms have taken on a waxy look and the color has darkened but they aren't in bad shape even though the blooms are not fresh. I looked at them today and at the base of the flowers, there seems to be a seed pod or something similar developing on all three blooms. Is this normal? Is it setting seeds and, if so, can I harvest the seeds and plant them in the spring?
Yes, your plant has produced seeds.
Here is a link with more information.