Allow the flowers to fade and dry naturally on the plant. The seed head will form at the top of the stem, the central eye of the daisy is where the seeds will form.
Remove the dry and browned seed head, allow to dry for a few days on a plate. Crumble the head, using your index finger to push out the central eye area onto a rimmed plate. Gently puf away the chaff. The seeds are small, narrow and wheat colored, about 1/4" long.