Well they're known as Impatiens for a good reason -- known as "explosive dehiscense".

I've enclosed a link to an ehow site that's supposed to tell you how to collect the seed.

Here is a link that might be useful: How to get seeds from Impatiens flowers

Unless the seed is very very fine, I find this method works OK. I use fly-screen material (if you know what I mean - it is not wire but is some sort of pliable mesh these days). I cut a small piece, maybe a square or a circle and carefully enclose an un-ripe seed pod so that when it opens, the seeds will be caught inside. You need to do this carefully and use a light material so as not to weigh the seed down or break the flower-stem.
You can double up the material if needed to make it a bit denser for smaller seeds.
I find the easiest way of securing it firmly round so there are no gaps is with a small paper-stapler. If the combined weight is still a bit much, you may be able to support the pod's stem with a small stake as well.
On trees or vines, I also mark the pod's location by sticking on a tag of fluro coloured duct tape, but really anything like that will work just as a reminder where it is - a bit of plastic bag, ribbon, wool.
The advantage is, that the "wire" mesh is see-through so you can follow the progress of the pod and hopefully catch the seed if it ripens early. It is light and airy so the plant receives normal conditions and you do not risk the pod becoming wet or mouldy.