If I remember exactly--once the flower turns brown and "crispy" pull it off (it should pretty much fall off) you will find the seeds there.Not in the flower but where the flower was. They are pretty small and round (brownish color).

After the flower withers, there will be a green calyx which will swell and then turn brown and crack open. It will contain the seeds which are brown/black grains. Collect only after the calyx has turned brown, before that the seeds arent mature. I try to catch them just after they've started to crack open, but before the majority of the seeds have fallen out.

I have 2 wild collected Petunia integrifolia (=violaceae ) it's violette magenta color. One collected from Chile came to me this year via Longwood Garden. The plant is low growing with small to medium prolific flowers. It produces seed, some plants better than others.
On another Petunia integrifolia this one originally from Paraguay I rarely find seed pods. This winter I grew the Paraguayan Petunia from cuttings, (they were easy in the greenhouse and showy too. I planted them out early april and they continued to bloom all summer, infact they are just finishing, yet I can't find seed! They self sow, coming up once the soil warms up. I'm not sure how without any big plump seed pods. I have wild white Petunias (Petunia axillaris). They are fragrant and very reliable seed producers. They produce bushy plants that flop over and then send up vertical shoots. They will climb into my roses if given a chance. These are like the old fashioned ones that self sow, and once were common. I have seen hybrids of the two species which were big flowered and pale magenta.

I'm not sure if Petunia seed growers have some trick to getting good seed set. Anyone out there a professional seed grower?