Clematis aggregated achenes have a long hairy appendage that develop from the style of the flower. These are yet not to be collected.
Throughout the season I regularly deadhead the plants to keep them producing flowers. But, from September onwards I leave a few flowers of to set the seed. It may look a bit untidy but it is necessary to have seeds.
Some plants such as Echinacea may be left as it is for the winter. It looks wonderful covered in ice and snow and gives the garden structure and interest.
It is not a bad idea to make a list of the plants from which you want to collect the seeds. I make small paper bags (or use envelopes) and write names of plants along with other relevant information such collecting and sowing time, special germination needs and so on.
Tagetes seed heads and seed
Proper timing to collect the seed is important because the seed must be ripe. Look carefully for the seed pods and capsules in order not to loose the seed. They release the seed by splitting which may occur suddenly and the seed is lost. You can tie a paper bag over entire stem to prevent it.
Collect the seed when the weather is dry. Put the pods, capsules and flower heads in the paper bags and leave for some time to dry. Always label the bags.
Impatiens fruit splits when ripe and throw the seeds away at a certain distance from the mother plant. It is a pretty invasive plant, but you can always transplant the seedlings on some other place.
Some seeds need extracting by hand, the other needs only shaking. Keep the seed bags in a dry place. Extract the seed from fleshy fruits such as melon, tomato, courgette and cucumber and wash it thoroughly in a sieve. Dry completely before the storage.
Dill seeds soon to be collected.
I use to leave some plants to self seed, especially if I want them at the same place in the border next year. One of them is Lunaria annua. Be careful with plants such as Aquilegia and Impatiens because they may be invasive.
Cut off the seed pods before they release the seeds.
I sow biennials such as Digitalis or Campanula straight away to get the seedlings that will flower the next season.
Seeds may have also short period of viability so if you not sure, take a look for some info about storing and sowing the particular species of plant.
I keep my seed bags in a drawer on a dry, well aerated place.
More on seeds - take a look at SEEDS.