I haven't had much luck collecting viable seeds from my dahlias til very late in the season, & then not all of them seemed to produce anything. If they have viable seeds, you will recogize it I think. They are elongated sticks, wider at one end, plump. Sort of like miniature boat paddles :) Good luck, I collected from my plants last year & got lots of seedlings, but none bloomed. I really expected to see some bloom, but none of my dahlias really seemed to do well this year.

You can see pictures of seeds in our "Seedling" album at this site. They are towards the end of the album. If you click on the small picture it will come up big enough to see the seeds. Dahlia seeds look like a flattened earwig! They are fairly flat, longish & have a couple of prongs on the end like an earwig does!
You have to leave the pod- dried flower head - on the plant until the seeds ripen- they will form a cone shape & turn brown on the ends. Then the whole pod will turn brown. You have to make sure the pods don't get picked too early or the seeds won't ripen. Some people say you can cut the pod & ripen it in a vase of water in the house but we've never had any luck getting seeds from any that didn't ripen attached to the plant, out in the garden. You also have to protect the pods from rain as they will rot if they get too wet- we go out & "milk" the water out of the pods after a hard rain- what fun!!??
Be aware that dahlias don't come true to the parents when you collect seeds, so even if you're collecting all AA or A sized seeds you won't get all AA or A sized seedlings- esp. if you grow other types, smaller ones, etc. You will get a lot of bad seedlings & if you're pressed for space it's not worth messing with. We plant upwards of 300-600 seedlings a year & in the first year we cull all but 100-200 of them. Over the next 5 years those are culled down to about 20 that are worth introducing.
The only way to be sure to increase your collection of big dahlias & share them with others is to cut up the clumps because they are clones of the mother plant- imagine the disappointment of those you give seed to thinking they'll be a nice big fully double AA & they grow it all season & it's nothing like what you thought it was going to be.