Hi Sandy;
Welcome to the equally addictive world of seed collecting. I about fell to my knees yesterday when I found local green milkweed (A. hirta) with pods.

Anyway, to answer your question, wait till the pods appear to ripen. They will continue to grow, dry a little, then begin to split to release seed. So, it is best to leave them on the plant till this happens. Sometimes they change color from a bright green to a little brown. Just depends on the plant. The one thing is that there are critters that like to eat young pods including monarch caterpillars. So, if you have any on the plant you may want to protect the pod. Netting that excludes bugs may work. By the first frost the pods should be ripe. Most milkweeds need some period of cold to start sprouting (known as stratification). So you have some options. Check out the winter sowing forum for some great advice on a cheap and easy way to start seeds like this.
Good luck,
Elisabeth

Thanks, Elisabeth, for the great advice. I'm all for collecting seeds from plants I already own. Leaves more money for next year so I can try out some new plants!