Hi,
Are you sure you've had a hard frost there and not a light frost? A light frost, when the air get down to freezing, will kill tender plant foliage, but hardier perennials will still be ok. A hard frost it gets a bit colder and kills everything.
Anyway, so much depends on the plants you want to collect seed from. You may have seeds that are ripe and ready to pick out there. Tender annuals would have needed to form their seeds before the frost. Anything after freezing will not mature because the plants are pretty much dead. Hardy perennials though can still keep on maturing seeds.
Seed heads normally change color and become dry as they mature. Seeds will go from green or white to tan, brown or black when ripe in general. You can not pick them early. They must ripen on the plant to be viable. The seeds also are hard and will not break or smoosh easily when ripe.
If you need more specific answers about a plant, do a search and if you don't find the info, please start a new post about it.: )
Do not put seeds in plastic right away for storage. Seeds may seem dry, but still have tiny amounts of moisture that take a week or more to dissipate.
I hope this helped a bit,
Remy
Oh I just remembered! The Seed Site has pics of lots of seeds plus other info.

Here is a link that might be useful: The Seed Site

Had a light frost here in UA in the front yard only. What plant are you considering?