A good rule of thumb for the vegetable garden in general is to save seeds for open-pollinated plants and buy new seeds for your favorite hybrid varieties when you run out.
The best time to save zinnia seeds in colder climates is late summer through early October. In warmer climates, we can enjoy blooms all the way till around November before we near our first anticipated frost date.
Use a clean pair of pruners or scissors to cut the stems a couple inches beneath the flower heads. Keep flowers from different varieties separate. Bring your harvested zinnia flower heads inside.
The easiest way to save the seeds once the flower heads are completely dry is just to toss the flowers whole in a clean jar, a seed saving envelope, a paper bag, or a plastic baggie.
The drier the seeds were when you stored them, the longer they should keep. Most zinnia seeds should remain viable for up to 6 years, but it’s a good idea to use up these seeds within 3 years.