Last year, mine didn't start setting seed until just about this time, October. I left my vine up and actually had a slight warm up in January, when I successfully harvested my seed. You'll be able to see the pods easily, once the develop. Considering all the pods that I had left up, and most surely dropped, it only had one reseeder, which only started germinating in the summer :(

I just harvested mine. At the bottom of the spanish flag flower you should be getting a swelling pod. Each flag produces a pod. Not each portion of the whole flag. They took forever it seemed to dry but mine were pickable this week. I only picked the ones I could easily crush and there were large black/brown seeds in them. Looks just like morning glory seeds.