The seeds are in the calyx, once seed has set the calyx normally goes brown.

What salvias are you trying to get seed of?

Annette

For the Calif. salvias, S. apiana, S. mellifera and S. clevelandii, the seeds can be collected simply by tapping or shaking the dried flower heads over a container and letting the seeds fall. S. apiana are most easily collected from late July through August, S. clevelandii about the same time, and S. mellifera in June. I tried collecting S. eremostachya the same way in May & June, but this technique was much less productive. I got a few, but not as many as I wished.

Countryboy 2007
Annette,has a good point which salvia are trying to collect seed of? There are some salvia's that are sterile or don't
produce very few seed. While other more tropical species
don't have enough time to produce seed in more northern climates.Which means cuttings will have to be taken.
Art

It's pretty easy compared to some plants! Look in the calyx and you should be able to see 4 seeds (fewer if fertilisation has been incomplete). If they are brown or black they are ready to collect, and should fall when tapped as suggested; if not, pick the whole calyx and pull it apart at the table. Seed falls easily so if it looks not-quite-ready one day, don't leave it too long till you look again.

As Annette says, some types are sterile and some won't form seed if they don't like your climate; as you are Z7 this could be the case for quite a few. Also, you should bear in mind that seeds from named varieties (as opposed to species) won't necessarily come true - e.g. S microphylla, greggii and x jamensis hybrids often make seed, but the offspring can be quite different from the parents. However, this is how good new varieties are born!