Hi Mike,
Primrose flowers are different between plants. In the center of the flower they are like innie or outie belly buttons, lol, that is the best I know for a description. It is a very tiny difference. So you need to make sure you are using two plants with the different centers to get seeds.
I'm not sure what you mean by picking the dead heads off. I would just let the flower be until the seeds are ripe.
The link below has what the unripe seed pod looks like. Also on the site on another page is what the ripe pod and seeds look like.
Remy

Here is a link that might be useful: Unripe seeds pods