By How To Save Your Own Garden Seed: Link
Vol. #34 Pg. 14 by Clarice L. Moon
Clarice presents very practical methods for harvesting and saving your seeds for next season. Besides saving money, she points out that you'll be increasing the chances for vigorous crops because you are selecting plants that have already flourished in your specific plot.
We have done this a few times with Morning Glories and have always had good results. Simply leave the vines in place until they are good and dry, then remove the seed pods. These split open easily allowing the seeds to be extracted and saved for the following year.