Nobody really answered my questions when I posted earlier so I asked a gardening friend. Here is a summary of what she said.
1. To collect the seed wait till the flowers have wilted and dried on the stem. Then remove the dead flower head.
2. Gently pull away the lower dry petals from the seedhead. There will be a pointed seed attached at the base. You don't have to remove the petal from the seed - you can pull them apart - but a lot of people think it's neater.
3. Check the seed is fertile. Fertility can be as low as 1 or 2% if there are few pollenators, but is usually about 30%. You can easily check which seed is fertile. Fertile seed is thicker and fatter than infertile seed and darker in color - dark grey/brown. Infertile seed looks thinner and poorer and is usually a lighter grey/brown color.
4. If you have any doubts whether the seed is fertile or not do the drop test. Drop the seed from a height of about 6 inches (15cm) onto a hard surface, if you hear a hard click when it makes contact it is fertile. If there is little or no sound it is probably not.
5. Sow the seed directly into the ground as soon as possible in warm conditions. Germination is fast. Don't try and transplant. If plants begin to look tall and lanky pinch out the main stem, though with modern dwarf varieties this is often not necessary.
Good luck - Ian.