Leave them on the plants until they turn black. Cover the flower heads with a sheet of nylon stockings so birds won't eat them all. :=)
Leave some for the birds, though.

Other than nylon stockings, what else can I use?

Thanks Mone! :)

A piece of tulle, a paper bag, or anything that is porous just to keep birds from pecking at the seeds.
Don't use a plastic bag. The collected moisture will rot the flower heads.

A plain sock will work too -- something like a man's dress sock, but a thick athletic sock might be ok. Don't use one with a hole in it, though.