You could bag the spent flowers if the weather is dry. Or cut them and bring inside. Russian Sage can do with a good cutting back anyway so you just cut it all down and deal with the seed collection inside. On the other hand, much the fastest and easiest way to get more plants would be cuttings or division.

Mine all self seed like crazy around the plant. The ground under a mature plant will be matted with grey fuzz from the flowers underneath. Volunteers come up from several feet away as well and in sidewalk cracks. Lots of people complain about RS being aggressive self seeders. Maybe your best recourse would be to wait until next spring and transplant volunteers but my advice would be: do not use mulch under them, you should find volunteers next year.

I agree with floral, bag the dried seeds. They also put out underground root runners which can be dug out. Detach a rooted stem for a new plant.