Where do you live, and what zone? Most North American Milkweeds need a cold period, known as Winter stratification.
There are several ways to plant and/or store Milkweed seeds thru the Winter.
First of all, collect only from the healthiest pods on the healthiest plants. Avoid plants or pods infested with aphids and/or Milkweed bugs.
For Tropical Milkweed, no cold stratification is necessary; simply plant in the Spring/ Summer. Keep seeds at room temp.
Depending on your location, you will need to chill your Native Milkweed seed thru the Winter. You can Winter sow, planting just before a snow, or plant in the Fall. If you want to keep your seeds safe from birds, squirrels etc, you can keep them in the refrigerator for a minimum of six weeks. I put mine in a rolled Ziploc baggie, tagged c a Sharpie, and store all seeds in a vase in my unheated garage. I then Spring sow. I start my seeds in plastic deep celled flats and eventually move them to 4" pots. They make great gifts for friends, family, neighbors and coworkers. And there's still plenty for your garden :)>
If you gather more seed than you can use, you can donate the remaining seeds to The Monarch Project or several other organizations geared towards preserving this natural treasure.
Gather all you can. Every little bit helps.

John