Hi, guess everyone has a method of saving seed. Always make sure they are dry before storing. I used to store mine in small glassine envelopes I got from Meyer seed. I then placed the glassine envelope in another small paper envelope and placed them in a small wooden box upstairs.
Then I began using those little plastic cups they have at fast foods for mustard etc. They seem to work equally as well and seem to be moisture proof. Steve in Baltimore

Several years ago I bought a box of small manila envelopes at Staples and I put the seed heads in brown paper bags in a really dry place until seeds can be shaken out, then I mark the little envelope with plant name and year, put seeds in and store it with other commercial packets in metal 3x5 card boxes. Glacine is probably better, but I haven't tried any difficult seeds.
Has worked well, but often sow seeds as soon as they form on the plant and try to carry the plants through winter. I have pots of Digitalis, blue Fescue and hollyhock already sprouted from this Summer's seeds and trays planted with Stokesia and Lychnis that show no signs of growth yet.
Zinnea seeds can certainly be saved as I do, but color of flowers will be very unpredictable. I usually buy a balanced mixture in Spring. My present ones are still blooming and those forming seed are being attacked by the goldfinches.

I am new to seed saving too, so I can't offer much advice. However, I can say that the seed saving forum has been of tremendous help. You should also try a search on the type of seed you are trying to save.

Try "Zinnia Seed Saving"

Here is a link that might be useful: Seed Saving Forum

Thanks to everyone for the ideas and tips.