Select a few dried seed heads from your favorite zinnia plant -- if you planted mixed colors , you can even narrow it down to just one color if you like. The seed heads are the centers of the flowers, once the petals have dried and fallen off -- they should be dried and dark brown.
Test the pod to make sure the seeds are mature -- dig into it with your thumb -- the seeds should fall out easily into your hands -- the wedge-shaped pieces in the photo.
Collect as many dried seed heads as you wish (each will have a hundred seeds or more) and put them whole into a paper bag. It is best to collect from several different plants if you can and save a few extras to make sure you have enough if your germination rate is low.
Label your bag and store it in a cool basement, or roll up your bag, seal it in a jar and place it in the refrigerator.
4-6 weeks before last frost, start your seeds indoors (see link for instructions) or sow seeds outside after last frost.