The proper time to collect seeds is generally when the pods (if any) are starting to split, or the seed heads are starting to dry out (usually the part of the stem right under it has started to shrivel up), but there are some exceptions. Violas are rather tricky, since they expel their seeds once they are ready (if you're watchful, you can catch them as the pods open up, before they start expelling the seeds). Hellebores don't look like they're ready when they are. You should try to collect them before they hit the ground if you can, as ground moisture may initiate the germination sequence, and drying it for collecting can kill the seeds (but don't let this stop you, as most seeds would be fine).

Researching characteristics of when the seeds are ready is useful. For example, daisy-relatives seeds generally stay on the head when ready. Mint-relatives (mints, salvias, lavender, etc.) have four seeds at the bottom of the calyx (I believe it is called) after the flower falls off, and are ready when the seeds look black when you look in, and the calyx is dry. Generally you want to make sure the seeds are no longer green (which means they aren't ready, usually), although a few seem to be still green when ready (some anemones and relatives, etc.). The seeds generally should turn brown (violas, some campanulas, irises, lilies, etc.), black (saxifragas, salvias, some lily relatives, onion family, etc.), or gray (not too many, but I've seen some), when they are ready, sometimes red (stinking iris, magnolia, some campanulas), white (stinking iris with white seeds, parts of some bean seeds, etc.), or other colours (Love-Lies-Bleeding is rather pinkish).

I hope this helps and I haven't talked your ear off. :) Good luck!