If you look at where the flowers used to be, you should see little cups (it's called the calyx, I think - can't remember those plant parts) with (usually) jagged rims, attached to the stem. At the bottom of the cup (inside), you should see up to four green bumps, and those are the seeds. When they ripen, they will turn brown or black, and the calyx will start to turn papery. Then all you have to do is squeeze the base of the calyx and they will slide out easily. If they don't, then they're probably not quite ready. I do recommend cutting the calices off the stems first, as the seeds may shoot out when you squeeze. This would be the same for all lamiaceae plants (mint family), including lavender, lamiums, sages (salvias), basils, etc. The seeds could be quite tiny (like thyme) or quite large (like leonorus), but are generally either spheres or ovoids. Good luck!

Hi jnamama,
I cut the dry stems and turn them upside down in a paper grocery bag. I keep doing this until the end of the season. Then I leave them two more weeks and they usually drop the seed into the bag on their own. You can roll the top over, hold it tightly and shake hard for a few minutes to help them along.
Hope this works for you, it is so easy.
Tina