"The flower head on zinnias is ready when they make a distinctive "POP" as you snap them off. The seed is inside the cone, just behind the petals. In fact, follow the petals to the seed at its base."

Here is a link that might be useful: from saving zinnia seeds @ red bud farms

Ok, I was searching the forum for the same information and now I have to really laugh at myself!! I have apparantly been saving the wrong part of the zinnia as seed (first year growing them) and I tossed what I thought was the chaff out the back door.. I wonder if my grass will sprout zinnias next spring?? If it does I will take pictures!!
You all are great with advice!! I would be lost without you!
Kathy