If the seeds have fully matured, yes you can preserve for next year. Lay them out to air dry completely, then store them in a cool, dry & dark place.

Much better to let them dry off on the vine... however if you have already picked you can try following Bathgate's advice - though you may end up with poor germination next year.

You may still have some viable seed but yes better to let them mature on the plant.

When my dad was alive he always saved his own seed. He left the last pods on the plant and tried to save the pods with the most seeds; sevens and eights in the hope that next year's pods would be just as big.