Yes. The ball should be dry - in other words, you want to pick mature black centers that no longer have flower petals attached. If you picked a flower with live, colorful petals, the seed may not be mature.
Just break that center ball apart, and you will see the small black seeds. Make sure they are fully dried, and keep them in a plastic bag in your fridge until planting time.

Hi,
In addition to what Ekgrows said, when you go looking for the seed, there are two things in the black ball part of the dead flower, dried up flower filaments and the seeds. Both are dark and thin so I think that is why people get easily confused between the two. The filaments are easily crumbled. The seeds are hard little pencil lead pieces looking things.
Also, if you don't want to store them in your fridge, you can store them in an envelope in a cool dark dry spot in your home.
Remy

There are a couple of pictures here that might help you:

Black-eye Susan seed heads, chaff, and seeds
http://davesgarden.com/guides/pf/showimage/53/

Black-eyed Susan seed heads, and seeds
http://davesgarden.com/guides/pf/showimage/54/

The seeds are the little uniform dark things and are underneath the chaff, which are the dried up flower filaments that remy mentioned. I've found that I can use the blade of a pair of scissors to scrap the chaff away, using an upwards motion (in shaving terms this would be called going with the grain), then I just dump the seed head upside down in a bowl and knock it against the side a few times to get all of the seeds out. It isn't essential to separate the chaff and seeds, that's just the way I do it.

Once you figure out whtat is seed and chaff, you can harvest both rudbeckia and echinacea with no problem. Each flower had a seed head with spikes and with seed tucked in between the spikes. With rudbeckia, the seed is like little grey splinters in betweem the spikes. It's ok to simply harvest chaff and seed together.

Thanks everyone this is a great help.

Thanks for answering a question I hadn't even asked, but always wondered about. I've saved many different kinds of seeds from everywhere (I'm an incurable seed snatcher), but never black-eyed susan seeds--just because I could never figure out which part of the seed head was the seed! Thanks for the clarification.