This time of year is perfect for saving your herb seeds. When the herbs are nearly finished flowering and they have turned brown and dry, tie a paper bag over the top of the herb to catch the seeds. Then cut just below the bag and catch any seeds that will jar loose.
Once you have your seeds captured in this manner, it is easy to remove the seeds by hand, by rubbing the dried seedheads, still contained in the bag. Once this is finished, you can sort out the seeds from the chaff if desired.
My favorite tip for seed saving is to store any seeds in dried milk powder. You can keep your individual seeds in small handmade envelopes. Then place these envelopes inside of a glass container with at least 1/4 cup of dried milk powder. The powder will ensure that the seeds remain perfectly dry throughout the winter.
This is not only a good way to save seeds, but if you are involved with any seed swaps, it is a great way to be able to have perfect seeds for swapping.