Here are some instructions I found for saving sunflower seeds @ : http://ag.arizona.edu/gardening///index.html-
Flowers in the center of the flower disk will have shriveled. The flower head will have begun to droop and the green back-side of the head will have turned yellow. Finally, pull a few seeds out and split them with a knife. The kernel inside should be solid and well-formed.

To harvest, cut the flower head off leaving about one foot of the stem attached. Place the flower head in a paper bag or cheesecloth sack and hang upside down in warm, dry location. The bag will catch any seeds that may fall during drying. When the seeds have dried, they can be easily rubbed from the head."

I've dried sunflowers at a low temerature in the oven,
I've also dried them hanging and laying flat. I have found
that the easiest, the best and most rewarding way is to
just leave them in your garden all winter long. Don't pull
up the plants until next spring. No fuss, no mess. Of
course if your plants aren't where you can see them from
your house in the winter you'll miss out on the best reward
of all...loads of birds flocking to your sunflowers. I
think that is even better than seeing them at your bird
feeder.

Thank you for the posting...it's too late for me. The house finches have eaten the seeds, and what antics! They get on top of the flower and turn almost upside down to get at them. Much fun for me and my cat since many of them are right in front of a window...not too many left now. I will just buy seeds next year. It's been a riot though.