I have a short growing season, so the first blossoms, the first vegetable etc. those are the ones I'll leave for next years seeds. By doing it this way I'm assuring that my plant seeds will have a chance to mature.
If the seed pod is dry, the seeds are probably ready. Don't pick too early, better to leave them a little longer and lose some, than taking a chance on harvesting seeds that are not quite mature.
I have labelled terra cotta pots lined with paper towel right by my back door, away from the rain and squirrels. Terra Cotta pots are sturdy enough to stand on its own. I can also hold the pot with one end and snip the seed into it with the other. When I'm sure my seeds are dry, I can lift the paper towel from the pot and pour the seeds in labeled jars or seed packets. The jars, I usually leave the lids off for a while longer to make sure there isn't any moisture trapped in any of my seeds.
I have jars of all sizes, including baby food jars. I also use a box with index cards for my seed packets.
All of my treasures are then set on the shelf where they sleep and wait for spring. I'm not fussy about the temperature of the room where I have my seeds in. I just like it to be dry. I love looking at those shelves in the middle of a cold winter. You can't help it but to think of flowers, soil, birds and slugs.
Seed packets to print