The seeds will develop under where those yellow stamens are, assuming something pollinates them. After the flower dies off, I'd expect the seeds to develop in a cluster. Don't pick the head off til they're ripe or very nearly so and let it dry in a paper bag to collect the seed when it drops off. You'll probably find that each seed has a papery little tuft at one end. They may or may not produce plants with those gorgeous "paint splashes" on the flowers.

Thanks Beattie , I have removed one or two of the heads and i think i can see what you mean

Leave them to turn brown and chaffy on the plant. I have collected the seeds of a species type Zinnia but these will be just the same.

ps, its a Zinnia too.