Check out the posting farther down in the seed saving forum for salvia "May Night". All sages and mint relatives are the same in terms of seed collecting.

Wait until they dry, look brown, very plump & ripe. You need to catch them before the seed heads turn down. After they turn down the seeds will drop to the ground.
They are usually not easy to start from seed  even the fresh ones. Some of the UC universities have done studies on seed propagation methods, because of this difficulty. They propagate in nature through underground rhizome. They usually start from seed after the wildfires scarify the seed. I have propagated the cuttings, but not the seed.
Do your plants look like salvia apiana? I saw one at a swap meet a lady started from seed the other day & it looked nothing like the plant. I have seen the different varieties & hybrids of the apiana but it looked nothing like the plant. I have noticed it looks different when started in soil rather than the sandy soil it is grown in.
If you started it from seed, what was your method?