Yes you can, though you may not get exactly the same colours as you did from the packet seed. Leave them to dry off on the vine if possible and the remove the seeds from the pod and store in a paper bag or envelope somewhere cool and dry over winter.

you need to let the pods go brown on the plant as this is when the seeds are fully ripe. As moongrower says store them in paperbags or an envelop. in plastic they will 'sweat' and go mouldy.