Wait until the seedheads are brown, then cut the heads and put each in a paper bag so the seeds fall out into it. Then you can put the seeds in a paper envelope, with the name of the plant and the date on it and keep it in a cool place until you sow the seeds. Some plants, like hardy geraniums, 'shoot' their seeds out, so you need to collect the seedheads as soon as they're looking ripe - look every day!

Collecting seed in the British climate is always difficult as they tend to get rained on before they are ripe, and then start to rot. Perhaps in your part of Canada it is easier.
I would really emphasise the need to dry out the seed heads thoroughly in a building of some kind before storing them. Any seed which is at all damp will just go mouldy and never germinate.