If you are referring to annual Vinca, Catharanthus roseus, you will find the seed pods along the stem under the current blossoms, similar to the way Cleome species form elongated seedpods if you have ever collected those.
The seeds are in slender, cigar shaped cylinders that start out green and turn brown and split to disperse black seeds. You may have to keep an eye out so that you can harvest as soon as they brown up. Otherwise the seedpods will split and you will miss the opportunity to collect the seeds. They reliably self sow in SE Kentucky.

I have searched the web for this info. Finally, you gave me the answer. I sure would love some good photos of the seed pods to know what to look for.
Thanks!

From what I remember, the pods show up fairly late in the season. These reseed in the black asphalt cracks at a nearby gov't bldg. how they survive and bloom in that heat, I'll never know.

Like Buzy Lizzy, the seed pods are explosive and it's very easy to lose the small seeds, though you can dig up seedlings from the ground. As soon as they begin to brown or even before if they are looking fat, I cut them off and seal them in a plastic jar until they "pop" naturally. Seedlings will not come true and the vast majority will be purple with a few white. The only way to propagate other colors is by cuttings.