Has your rosemary already flowered? It's still in bloom here and just starting to go over. I would suggest you watch the flowers carefully until they fade and then loosely tie a muslin or paper bag over the dead flower head. Not plastic as it needs to breathe. Then just wait until the seeds ripen and fall into your bag. I can't tell you how long they will take to ripen.

A quicker way to propagate rosemary is by cuttings, and then you are guaranteed a genetically identical copy of your plant.

If you are collecting for seed trading, please note that rosemary seeds have a low germination rate of about 30% so be sure to give a decent amount of seeds to the person.
Remy