Beth,

There was talk of a FAQ section but it never seems to come to anything.

Collect seeds just as the pods are popping open by themselves. For me that's now. If they "Pop" with a gently squeeze along the seam they are ready, seed should be grey at this stage, white is slightly underripe and black means they will probably have fallen out already.

I hand pollinate some and these are marked with a bit of wool tying a plant label with the details of the cross.
generally collecting seed is easy either chop the flower stems into a plastic container, or pop the pods in situ and shake the seeds out, depends how many you're doing, how accessible they are, and whether you want to leave the sepals on the plant as some of them remain decorative for a while.
Store in a zip lock bag in the fridge or preferably sow them straight away, they need a period of warmth in the soil prior to a chill before germinating. Sowing immediately should give near 100% germination, see the chain "How do you sow yours" below.
Cheers Greenmanplants