I agree with Farmerdill -- there are a lot of things that you can't save seeds from at the time you would normally pick them to use. They need to go way past the eating stage before the seeds will be viable to plant.
But, watermelon, cucumber, cantaloupe and squash won't likely cross among one another. The cukes and cantaloupes are the most closely related, being Cucumis melo and Cucumis sativus, but are different species. The others belong to entirely different genera.
