The general rule in my day was to get them off of the bush before the outside temperature fell into the low 20s.

http://home.roadrunner.com/~kuska/whentopickhips.htm

http://home.roadrunner.com/~kuska/ara1960.htm

Here is a link that might be useful: rose hybridizers thread

I believe most people place them in moist paper towels or moist soil, seal them in baggies and put them in the fridge over winter. Check them in Feb or March as they will likely start sprouting at that time.

There are other methods- they can be placed dry in envelopes, then into baggies, into the freezer for several years, for example.

Unfortunately I have let them dry out sitting on my desk, I am going to try putting them in an envelope as per donaldvancouver, then soak and rinse them in spring, leave them in moist paper towel for a few weeks, plant and see what happens.

I've been growing open pollinated rose seeds for about five years and have used the method Donald suggests. A few will have sprouted in the fridge, but many will sprout after planting them in seed starter mix. The year I had the best germination I put them in a fridge that had been set not very cold..about 45 or 50. Last year that same fridge was set colder and the door was not opened much . Some things froze, as well as the moist paper towels the seeds were in. I had very bad germination rates with that batch. Also, those seeds had been harvested earlier. Seeds harvested in late Oct. and Nov. in my zone 7 do ok. I set up fluorescent lights in my unheated laundry room and start the seeds under lights sometime in late January or February.

I received a bag of dry seeds from a rose hybridizer not long ago and he said he puts them in the fridge dry. So I put a few bags of dry seeds in the fridge too. It is a lot of fun to see what kind of plants you get! Good luck!