I'd wait until the pods start to split. You can put a rubber band on each pod to keep the seed from escaping. The seeds will continue to grow as long as there are green leaves.

Thanks for the rubberband suggestion Leafhead.
So.....if all the leaves on a certain stalk are gone, I can take the green pods off? Or will the seeds continue to grow if the stalk is still green?

Just to be safe, I'd wait for the pods to actually yellow and split before harvesting seed. By then, the stalks will be brown and dead.

Thanks again Leafhead!

Hi Catherine, I agree that waiting until they are just starting to split outside would be best. But this year I harvested the common milkweed pods out in the xeric garden a little before that - when the pods were yellowed, but before splitting, I brought them in and spread them in a roaster pan to dry in the kitchen. Then I test them periodically by squeezing or rolling the pod a little, and if they start splitting, they're ready. This way, the seeds are fully brown but the fluff or pappus is not so fluffy - and doesn't fly all over the place.

Thanks terrene!