Hi TK,
Celosia is very easy to collect seeds from. The flowers will dry and as they dry the center stalk part of the flowers will develop little round black seeds. They will be covered in them.
Remy

Hey TK,
Here's a picture to help you see what the seeds look like. Even though the picture is Cockscomb Celosia, the seed will look the same for Plume Celosia. Once the flower head has turned brown, I clip it and place it in a plastic bag. I gently rub the flower head and all of the small black seeds will fall into the bag. All set to go for next year!
BTG

Awesome piture... I was coming on to ask the same question. Thanks!

Thank you so much for the information. I'm getting lots of seeds now.