Hi Jan,
Sages don't have seed pods. They develop seeds down in the calyxes after the flower falls away. The base of the flower near the stem is the calyx. Like on Salvia 'Black and Blue', the calyxes are the black part of the flower) You will see one or two little green seed down in the calyxes. They will turn gray or black(final color varies with variety) when they are ripe. Some sage varieties hold onto their seeds and they are easy to collect seed from. Some varieties have seeds that fall out pretty soon after ripening! This of course make seed collecting hard. I'm not sure which category you sage fall in, but if you check on them often, you will get seed.
Remy