OL..........there isn't much of a mystery to saving seeds........if possible, it is always best to let them ripen on the plant but if time and weather doesn't permit, you can still harvest seeds by collecting nearly ripe pods/heads in a paper bag and placing/hanging in sunny, dry spot. You may not get all to ripen this way but the majority will. Then you just pick out the plumpest ones to store. Kept correctly, you will have as much chance of germinating them as you would from bought seed.
As Mike suggests, it is always best to let nature take it's course but for those without the time to keep an eagle eye on flower heads, it can still be done. It isn't exactly rocket science so don't worry
Sorry, that last sentence sounds rather rude and patronising.......I didn't mean it that way as I'm sure you will realise. Just that anyone can harvest their own seed with just a couple of pointers I'll stop here before I dig an even deeper hole to sink into