What you do is this:  Let the flowers go through their natural process, you know, growing, blooming, and blossom death.  Now, where the flower used to be, there should be a "seed pod", these are diffrent shapes depending on the plant.  You can usually find the pod because it will be a swelled up spot in the center of the flower.  Once those pods dry (part of the bloom death) they WILL open.  The trick is to get the pod before it opens and spreads it's seeds.  So, just watch them.  Once they turn dark and pretty dry then they are probably ready.  After you collect the pods, keep them in a dry place for about a week before you open them, removing the husks by dropping  them from one container into another in a slight breeze (or in front of a fan on low).*When you deadhead the flower, regardless of when you do it, what you do is actually pluck of the under develop seed pod with the flower. You'll have to let mother nature do her thing if you want the seed pods and just deal with the little unsightlyness until you've collected as much seed as you want.*

 

Before long, you'll be collecting seeds like crazy, and you'll be able to swap them with friends, neighbors and family.