If you want to plant them directly in the ground, you should wait until you're sure you won't have a freeze and the ground has warmed up enough that the seeds can germinate - cold ground won't do.
If you want to start them in individual containers, you could put them outside when it's warm, then bring the containers in the house when it gets cold outside. When I want to have some plants early, that's how I do it.
I bought and planted some zinnias that I really like this year. I think I'm going to let some of the flowers go to seed and save some for next year.
Sherry

What kind of zinnias do you recommend for the butterflies? I don't usually use annuals but I could definitely use some to fill in areas until the plants that I have just planted have time to fill in. Murray

Any type of zinnia with the big, central "nectaring" area will do, Murray. Just don't get zinnias that are all petals, like big mums, because there is either no nectar there or the butterflies can't reach it.
Here's mine -
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Sherry

They love all zinnias here but i like the cactus zinnias best really neat looking .Zinnias are the easyest plant to grow from seed for me mix in some Cleome Sparkler they love both here.
Angie
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I just planed a slew of Zinnia seed yesterday. Let's see...I planted Scarlet Flame, Zowie Yellow Flame, State Fair, Cut and Come Again, and then some Zinnia seed that I harvested last year from the biggest Zinnias I had. Oh, I hope they all come up and do well.~~Angie