Yes you are best to wait till they are fully ripe if you can.
If by "lose them" you mean the pod breaks and the seed floats away, put a loose rubber band round the pod, or tie a little garden twine round the middle of the pod, with just a tiny bit of slack. Keep an eye out and when brown and starting to show signs of splitting, you can remove the pod without the seed having been shed. Add a bit of bright coloured wool or something to remind you to check occasionally.
They may not grow true to colour from seed.
Handle carefully, all parts of Oleander are poisonous.

Thanks for the reply!

I finally broke one open to see how ripe it was; it wasn't LOL so I have promised the person I will send when they are ripe.

I'm very careful when handling oleanders and moonflower.

Peggy

This weekend I found a pod on the ground at the base of the oleander, it had opened and the seeds were starting to take wing. I brought it in and it is safely in an envelope now!

Peggy