The seed is held within the fuzzy blue calyx that is left behind after flowering. Mine self-sow once in a while so you should be able to collect some seed if you have branches that bloomed early on.

Actually my plants did bloom pretty early this year. I imagine the fuzzy blue calyx will be brown by the time the seeds are ready to harvest. Yes, mine have self sown just a couple of times, so there must be seed. Maybe it is because they bloom so late that some years they don't have time to set seed. Never thought of that.

Thanks,
ADam