They start out looking like a couple of green cigars, and they can take quite a while to ripen. Best is to wait till the pod starts turning a brownish colour and begins to split. The seed has a feathery little "tail" for wind dispersal. It is best grown fresh, nothing much special is required.
When one of my plants made seed, I simply slipped a not-too-tight rubber band round the pod, just enough to hold it together should it open before I noticed.
If you do more searching under "Adenium seed" or "Adenium seed germination" you should turn up a few useful sites. This was my first "hit"

Here is a link that might be useful: seed

I planted fresh seed into standard seed raising mix in a yoghurt contained with a clear lid. Cut some drain holes in the base. Fill the container up to about 2" deep of seed raising mix, water well and allow to drain. place seed (minus feathery bit) just under soil surface, put clear lid on and place in a well lit area out of direct sun. You dont want them to cook, just keep warm and slightly moist - you shouldnt need to water again until after they germinate. If there is too much condensation on the lid remove and wipe off before replacing. Good luck

I have desert rose pods that have just split open and I can't plant them because I am going away for about a month. How can I preserve them until I get back.