It would have been better to let them dry off on the plant but, put the seed heads in a paper bag or envelope and leave somewhere cool and dry. The seeds which are pea size will fall out of the pod when they are ripe.

ok that's great thanks Moon grower - I wont cut them off so soon next time! I only cut them off as I was advised that if I did, it may re-flower again this year?

It may but if you want the seed you should allow to ripen on the plant. You only need to leave one seed head.