Hi MsDazy,
The very tiny seed is no good definitely. The correct sized seeds should look like little lentils and be shades of brown. The color variation is ok, but if you are picking the pods and they are green, you are picking too soon. If the seeds seem thin and bend easy, they are no good. Store them in a paper envelope and you don't need to worry if they are dried enough. If you want to store in plastic, leave them to dry for a couple weeks at least on a paper plate or paper towels on a plate out of direct sunlight then transfer to the plastic bag.
They do not need to be planted very deep, just under soil line if fine.
You can take cuttings to keep over the winter. I've not kept them from Cuphea yet myself. I suggest you ask that question over on the Annuals forum if you don't get an answer here.
Remy