I have some beautiful bat-faced cuphea I wanted to save seeds from. Every time I saw the seed pods opening the seeds would disappear. I have many birdhouses and I feed the birds. They were the culprits. I asked my sister for some old panty hose. I cut the toe part off and tied a string around it. The panty hose lets the light in. I collected my seeds this way. Maybe this would work for you.

Dem pa, thanks for the tip - I welcome the birds, too, so I'm not surprised when they get to the seeds before I do. :)