Hellebores are perennial, so the ones you have will grow again next year. You can cut the spent flowerheads off if you like, it's not critical, but most people do so they look less tatty.

Mature Hellebores tend to seed themselves so if you would like more plants leave the spent flowers on - they will soon be more or less covered by the growing leaves anyway. Seedlings take a while to show though so be careful weeding if you want any.
They don't usually look like the parent though.

They are perennials so you don't need to collect the seed. I find that they are magnets for aphids so keep an eye on them and be prepared to cut them back.

I have saved the seeds once they have matured on the plant. I have then grown some new plants for other places in the garden. Remember to label them.