From Country Living Magazine:
"Most hollyhocks are biennials, so the plants only last two seasons and then don't come back. Gathering their seeds is a very smart idea, and nature's way of reproducing. For a flower to produce seeds some basic things need to happen. First, the flowers need to self- or cross-pollinate. Pollination occurs when the flower is open, pollen is visible and either wind or insects carry the pollen to the center of the flower. The flower is then fertilized and the seeds begin their development. The time period for seed development varies. Flowers "go to seed" when they are not disturbed on the stem, the petals fall off and a podlike fruit forms. When the pod looks dry and begins to open, go grab your seeds. These seeds can then be started indoors the next growing season, about six weeks before the last frost or planted directly into the soil when it is ready."