Katy !
Love those zinnias.
I wait until after frost to collect zinnia seeds. Make sure it's a dry day and the seedheads are as dry as possible. Even though they are all brown & crunchy, I can tell the difference between a bud & a developed, mature seedhead by how big it is. I collect the mature heads, lay the seedheads in a single layer on a flat, dry area (my hay wagon), in the dark barn, and leave to dry for a few weeks. I then load them into cardboard boxes for winter storage in the dry, cool basement. At a convenient time I take the boxes out to the garage to break up the seedheads and separate the seeds from the calyx & stem. Discard the calyx & stems. A dusty, messy job. I stow the collected seeds & petals in gallon zip bags in the house until planting time.
Side story: I did the breakdown process one sunny calm day in late fall on my deck. The next spring I had an unexpected zinnia garden around my deck from just a few errant seeds ! So I KNOW zinnia seeds will winter over in high, dryer ground.
Note: during the growing season, when you discover an odd bloom or plant, mark it with blue painters tape (similar to masking tape) and write notes with permanent black marker. Easy to find later when harvesting seeds.
Fortunately I am not bothered with the birds eating my zinnia seeds since I plant a 100' row of sunflowers for them.