I collected seed from my dahlias last year. I had a single yellow variety growing close to a dark-leaf single red. Out of all the seeds, only one seemed to be viable (I think that viability is a problem with dahlia seed). However, it turned out to have very attractive orange-yellow flowers with the petals delicately flushed red. So yes, I think it's worth doing. I'm sure you'll end up with lots of not-so-exciting plants, but the odd one will surprise you and make it all worthwhile.

Sorry not to be more informative about actually harvesting the seed. I believe you should keep squeezing the water out of the seed heads as they form. I'm sure other people will give you better information.

Wendeyzee, your seeds that you planted make tubers, that can be dug up an stored.

Seed collection was discussed earlier and you can believe what Plantlady and Jroot both say.

Here is a link that might be useful: collecting seeds