I've never collected lettuce seeds myself, but I do have a great book called The New Seed-Starters Handbook that covers it:

"... Lettuce flowers self-pollinate, so you can usually count on it to breed true.... Save seeds from the plant that is slowest to bolt to seed.... When the yellow flowers have changed into downy white seed heads, pull or shake off loose seeds, winnow them and dry them indoors for a week. For large quantities, cut the whole plant when enough seed heads have formed, and cure it in an airy place; then thresh out the seeds by shaking and rapping them on a hard surface. A single vigorous plant may bear as many as 30,000 seeds."

Hope that helps!

I just found this yesterday

Here is a link that might be useful: how to harvest lettuce seeds

that is ridiculous. You do not want to put a bag on them. the dry seeds will be outdoors in the heat. you want them to be cool and dry.

they are like dandelions. when ready the seed pod opens up with white fluff on each seed so it can be blown by the wind. simply pop off a seed pod and put into an open container in the house to dry. When you have enough rub them between your hands to open them up and you will find seeds. about 10 or 20 seeds per pod.

You can plant the seeds immediately and if conditions are correct they will germinate in a few days. in the hot summer they germinate better if kept cool in the wet soil in the house for a few days to get them started. I start them in 72 cell trays of 6 packs in the house. As soon as the first seeds start to pop out above ground I run the tray out into the direct sunlight. The other seeds will follow.

You can pop off a seed pod and open it up and plant the seeds immediately and they will germinate if cool and wet. They do not want to germinate if real real hot out. if your house is too warm then try the basement. 70 to 75 is fine but 90 to 85 and they stay dormant.