Take a picture of them while they are blooming so you'll know which ones to save once they're gone.

Label them--cut yoghurt/sour cream/margarine containers into strips or use plastic cutlery to write on and sink into the soil behind them. The seeds won't ripen completely unless you wait for the flowers to die off.

You can use a twist-tie from a bread bag to "tag" the flowers from which you wanted to save seeds. You can also use old pantyhose or a fine mesh produce bag around the flowers to make sure that the seeds are "caught" if they start to fall out before you notice. That scratchy lace stuff (tulle?) works, too.

If you read through other discussions about zinnias, you will learn more about how zinnias grown from seeds you save can be quite different from the parent, especially if you are growing different zinnias in your yard. (No way to tell who the daddy is.) If you don't like the idea of mystery zinnias, you may want to let the birds eat your seeds and buy new ones.

Zinnias can also make 2 different types of seeds.

My 4-legged helper recently dug a big hole and threw the dirt all over the lawn, so I'm unable to fill the hole back up and re-level that area until the plants growing around it die off later. So I started throwing deadheaded zinnias and other flowers in the hole when working in that bed instead of carting that stuff to the compost pile. I deadhead them as soon as the color is gone from the petals and there are zinnias sprouting up in that hole.