Let them ripen on the plant. You'll find that where the flower was becomes a brown disc that eventually breaks up. These are the seeds, collect them and keep somewhere cool and dry til next spring. I know people who keep seeds in envelopes in a plastic box in the fridge. I don't know if they get better germination that way or not.

The drawback with letting your flowering plants set seed is that they stop flowering as their job is done for the year. If you want to keep them flowering you need to dead head them - removing the developing seeds before they can mature.

Maybe dead head them for now, but stop at the end of the summer but while there's still time for the seeds to ripen properly. Then collect them.