They have to be left to 'bolt', to bloom. EX: See broccoli pics below. Then once the yellow flowers are pollinated and die the seeds are in the base of the tiny blooms. A dry brown flower head can be tapped over a paper towel and the tiny seeds will fall out.

Here is a link that might be useful: Broccoli images

The seeds take quite a while to ripen even after they have bolted and flowered. Be prepared to have your elderly brassicas standing around well into late summer. The flowers produce pods and the pods need to be brown and dry before the seed is ready. The picture at the link shows you what to look for but the ones shown are still not fully ripe.

Here is a link that might be useful: Brassica pods

In this area, collards and kale need to be left to overwinter to produce flower heads in the spring.
Broccoli flowers in its first year. Of course if it flowers too late in the season, you will not get seeds.
Brassica family plants cross pollinate very easily. So it is best to have only one variety flowering as a time for seed saving.
Remy

Thank You dig_dirt, Flora_uk & remy. Remy you are right, ours has bolted in August, what the groundhog didn't eat still has no seeds. Now, I at least know what to look for.