Hi,
No you are not mistaken. They will not mature more after being picked. You should wait until they split to get the highest percentage of viable seed. They don't have to be all the way open, just a little open on top is fine. So keep keeping an eye on them, and collect them when they start to split : )
Remy

Thank you, Remy. I promised my Niece some seed from these plants, and I sure want them to be viable! I really appreciate your help. Kathy

They can be a mess picking seed from the silk, time consuming.

Mine are orange and I let them turn brown and paper like before I collect them. They usually turn purplish then turn brown a week later.

foxy_2008, Instead of picking them from the silk by hand, do this:

Put the silk&seeds into a large ziplock baggie and seal it closed. Press your hands on both sides of the baggie, and rub around in circles like you're washing your hands. Do this a bit, repositioning your hands here and there, and there you go! Seeds will have dropped to the bottom of the bag, and you can pull the fluff out from on top.

I'd let the pods dry on the plant as said above. It won't hurt to plant fluff with the seeds if you need to.