The rounded seed pods should turn from green to pale straw colour. This is the time to collect them. You can put them in a paper bag and leave for a few days to dry out further when they should split to release the seed.

I think you can sow straight away but just in case, split the batch into three. Sow one lot now in John Innes seed and keep out of sun but good light in a cold frame (opened at all times during the day) and keep moist with a very fine rose or better, stand seed trays in water to soak up. Leave outdoors in winter but covered, only opening on warm days. Keep checking that they don't dry out too much too. These may not germinate until spring after a cold period (stratification). Sow the second batch in autumn and place in the cold frame too. The third can be sown in spring.

I'd suggest you read the info on Thompson & Morgan's website
http://www.thompson-morgan.com/info/articles/primulas.html
Candelabra primulas are not that easy to grow from seed - unless they like where you have them planted in which case they will self seed readily. This is the way we let ours multiply.
Sadly a lot of primula seed is not viable so it really is a matter of trying until you find a method that works for you!