Wait for the dahlia blossom to fade totally and let it dry on the bush. The stem should be dead behind the flower before you remove it. The seeds are in the base portion of the flower and you can clean off the dead flower portion.

Seeds look kind of like triangles, are black, and fairly hard. You can find tons of photos of the seeds online.

Now a warning: daughters of dahlia don't breed anywhere near true--the dahlia has 8 sets of each chromosome. Even self-pollinated flowers throw seeds that differ markedly from the parent, and the difference is only very rarely positive.