The trick in harvesting seed of most Salvias is to catch them just before they are ready to fall out of the calyx. They need to be dark brown or black to germinate. One other way to tell if the lighter colored seeds are viable is to let them dry out, and observe if they shrink and become lighter. Those that do are no better than chaff.

When I get to a sage calyx that has its one to four seeds darkened, I pinch the mouth of the calyx shut, then pull down on the calyx to break it off. This motion is designed to disturb the stem and plant in general minimally,so I don't shake out other seeds. You need to identify and go after the ripest calyxes first. And get there before the finches do.

Lois:
I think Rich can answer better than I can as to timing your Seed planting. My seed are black when they are ripe. If you have the plant at your house take some cuttings. I have found that a better way
to generate more salvias. Seed down here(in the south) comes up in the spring but I don't have snow cover to be concerned with either.If you have to do seed I would use something that is a more coarse soil with containers that have good drainage (old nursery pots).Your right it is a good idea to grow seedlings in a environment that you can have some control over. A cold frame (Clear plastic covered) with fans.If you
have the space a greenhouse/potting shed works well also.
As to color they should be red. Unless you have some different colored S.microphylla in the area then you can
end up with hybrids.

Art