The best time to collect is when the pod just starts splitting. This way, you keep much of the fluff contained. It takes a little practice, but I can get most of the seeds to drop into a container while holding onto the pod and the fluff.
All the native milkweeds around here need cold stratification. The best thing to do is sow the seeds in the fall to allow nature to do this. Otherwise it's a little more complicated and I have never got seeds to germinate in the fridge. From the fall seeding I have done, I just put the seeds on the surface. The freezing/thawing action pulls the seed into the ground. You are in a warmer climate, so this may not work for you.