Sarrah pretty well covered it. They DON'T "know" that their eggs are fertile- it can be pretty sad seeing a determined hen (or turkey or duck) set and set and set, just waiting for those babies to appear- when you know (due to the absence of a male) that it ain't gonna happen.
Broody hens is NOT gonna get off the nest for you or God or anyone! If you try to take her eggs, you will be attacked. BTDT, still have the faint scars on my hands to prove it. (Some hens will throw a fit if you try to take eggs from under them when they aren't broody, but they won't be on the nest 24/7)
If you forcibly remove a broody hen from the nest, she'll fluff up like Sarah says, but will immediately do everything in her power to get back onto those eggs.
There isn't a lot you can do to encourage them to "go broody", but the breeds which do so naturally don't need a lot of encouragement. It IS important to get one moved to a safe spot to brood and hatch as soon as you notice they are wanting to set. The reason for this is simple - other hens (if they have access to the broody one's nest) will continue to lay eggs near her or under her, and she'll take every egg within reach and set on it. Soon, she'll have too many to cover properly, and will either break them or they will get chilled and die as she rotates them like hens do. Also, the other hens will break the eggs the broody one is setting on while they are in there with her to lay their eggs. And if she does hatch some live chicks, some hens (who aren't broody) will kill and eat the newly hatched chicks- I guess they look like bugs.
So, if you want to have a hen raise babies, have a spot set aside in a quiet corner, preferably secured with some chicken fencing to keep her safe from predators (more important once the babies have hatched) and with food and water within close reach. As soon as you notice a broody hen, wait until dark, then steal her eggs and put them in the new nest (with any others you want her to hatch, if she doesn't already have a full clutch. They can generally hatch 8- 10 eggs, unless it's a bantam hen and they are full size eggs). Then move her and set her on her eggs in the new nest, and LEAVE HER ALONE. Generally, if you managed this without a lot of fuss and light and bother, they'll wake up the next morning and stay where you put them, content.
If you are choosing eggs for a hen to set on, pick "typical" eggs- the larger ones, but not the giant ones which have double yolks- they won't hatch. With chickens, you can "downsize" your flock size by hatching out the smaller eggs- they will produce smaller chickens. I suspect this is how they got Bantam breeds started. Don't use eggs which have even tiny cracks, or very dirty ones if at all possible. DO NOT WASH THEM before setting- too often it forces bacteria into the minute pores in the shell, and the egg rots rather than hatches. And sometimes one of those rotten eggs explodes all over the nest- and oh! what a stinky mess that is! Don't pick very long, pointy eggs, either... you want just "typical", healthy looking eggs with smooth shells.
You can store eggs for about 1 week before putting them in an incubator or under a hen, but NOT in the refrigerator. 50-60 degrees is ideal, and turn the egg carton you have them in every day so the yolk doesn't stick to the shell.
And yes, this is a bit early- but your pullets might decide to go broody next spring. The only hens I've got who will brood and hatch in the winter are my Silkies- and they'd hatch an Eagle egg if you let them!
Summerthyme
Someone else may have a better answer for you but here is my observations.
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