How do you collect seeds from a Himalayan blue poppy?

They will have pods but they probably dont self seed as they require specific conditions to germinate in.
A long period of cold and then as they prefer it shady and moist site, somewhere warm but not baking in spring sheltered from the strong sun.

Sowing can be done as soon as seeds are ripe (seed capsules trun brown, cut off and leave to dry in a warm place until the tops open)- the fresher the seed the better as they have a short viability period.
Soilless seed compost, light covering of vermiculite, at around 15 degreesC and germination takes about 3 weeks. Pot on or prcik out into ericaceous compost.

You can keep seed in a fridge and then sow as above in Spring, or try both methods.

Nancy
Could i add to the Nicky's comments. On pollination i normally give them a helping hand by smoothing my finger over the stamens and on to the stigma .the pollen on the stamens is ready when it comes off yellow on your finger,I particularly noticed how far away the two parts are on your flower so self pollination would not be easy unless an insect does it for you.