Margaret,
The seeds are in each tiny floret. They are black, or nearly so, when ripe. For Salvia farinacea and several other Salvias I take a paper bag into the garden and cut off entire spikes that are 2/3 or more brown (or gray) and place them in the bag upside down. You can leave them in the bag for a few days and many of the seeds will fall out on their own. You can give the bag a few good shakes and more will fall out. Then you can pull out the stems and pour out your seeds.
I'm sure other folks have their own favorite methods, but that works for me.
Alana

Here you go.

Dave

Here is a link that might be useful: Salvia Seed Saving FAQ

Here you go.

Dave

Here is a link that might be useful: Salvia Seed Saving FAQ

Thank you both...
Margaret