The pods are long and narrow, relatively speaking, and look like mini green bean pods. They form in pairs, but as they mature they separate. The seeds are dispersed as soon as the pod is near dry, so you have to be timely to succeed. Once you see them the first time they are unmistakable.
I found this answer I posted to the same question on Garden Web in 2007 while looking for a photo I thought I had of the seed pods. Alas, the photo is gone. I must have deleted it
"If you are referring to annual Vinca, Catharanthus roseus, you will find the seed pods along the stem under the current blossoms, similar to the way Cleome species form elongated seedpods, if you have ever collected those.
The seeds are in slender, cigar shaped cylinders that start out green and turn brown and split to disperse black seeds. You may have to keep an eye out so that you can harvest as soon as they brown up. Otherwise the seedpods will split and you will miss the opportunity to collect the seeds. They reliably self sow in SE Kentucky."