Assuming you are refering to hardy outdoor Geraniums most set seeds but many hybrids do not. Once flowering is over where the flowers were there will be a 'beak' with five swellings at the base. This is where the seeds will grow. Once brown collect them and place in a paper bag. The seeds will eject when ripe.

Species Pelargoniums always set seeds and are very similar to to Geraniums except they have 'feathers' They are easy to collect