I didn't make any attempt to remove the fluffy bit. The flower heads were dry when I removed them. That's important. Then I simply crumbled the seed heads to separate the individuals seeds, and sowed the whole lot on the top of some compost, and that was it.
My understanding was that the fluffy thing acted a bit like the fluff on a dandelion flower head and was a sort of parachute that caught the wind and helped the seeds fly away. I didn't try to interfere with it.
I've just taken a fresh look at my plants. I don't have anything remotely ressembling a harvestable seed head. Most of the plants are still in flower. There are a couple that have finished flowering. But the flower heads on those seem to be a squashy mess. I don't know whether they will dry out and firm up. I doubt it.
Although we've had poor weather, I have noticed plenty of pollinators on my gazanias this year, so I don't really think that pollination will be a problem. I took these snaps showing pollinators at work, a few days ago....