gee hazel, make my brain work
If you can find the seedheads watch them carefully, like every day, to see when the seeds look ripe. Don't get impatient because then you'll end up with seeds that are no good. Ask me, I know. I have collected tons of seed over the years and still tend to grab before seed is ready in the newer plants. The more established ones I have learned. Can't fool me.
Do you know if it is the original plant that comes back up or are they new plants? If they are new plants then they are an annual which reseeds itself. You know that though. In that case seed is the only way it will come back.
I'm assuming you want to propagate to put them in a new area of the garden? If that is the case if they are perennials the best thing to do is to wait till they are finished flowering and move a few plants . Or do it in the spring before the buds form. If you are adventerous you could try doing rootings. Those are best done now and then planted before fall to give them a good chance to get established.
If you want to go the seed route when you collect the seed broadcast them in the spot you want them to come up next year. Don't worry about covering them because if they have been reseeding themselves then they obviously aren't covered. They obviously need cold stratification. You live in a cold area. I would think if you want to keep them viable the freezer is your best bet.
Long explanation for a simple question.