I agree with Bio on waiting until the stalk darkens as well. As for harvesting seed, I'm sure others have their own ways of doing things, but this is the process that has worked best for me thus far:
To collect, I cut the stalk and usually don't remove the pods individually unless it's too ungainly as a whole. I use a set of tweezers to remove the dried flower remnants, then a pin to jostle the seeds out of the pods. I generally do this one pod at a time until the entire stalk has been collected from, and use a plain piece of paper to collect the seeds as they fall.
Then I try to clean them of as much chaff as possible. If the seeds are small enough I put them through an old brewing basket I have (
looks a lot like this one). Otherwise I use a pin to sort it from the seeds and dispose of it.
From there I packetize them
like so, multiple packets if I intend to distribute them or one big packet if I'm keeping them for myself... or am just lazy and want to hold off on dividing them. Then it's into a labelled coin envelope, and into the fridge if I'm planning on storing them long term.
I should also say, when I'm not feeling like making such a pain of the process I use Bio's method of just cutting the stalks, turning them upside down, and shaking them (though I use a plastic cup instead of a plastic bag). My burmannii for instance produce way too much for me to as careful with them as some of the rest... I'd be at it for days if I was.