Hi SarahJane, the best way is to let them dry naturally, but if the weather's awful like it is at the moment they do need to be under cover
If you have a greenhouse you can dry them in there but if not then indoors, in an open(flat) cardboard box or similar. Just leave them to dry until the seeds will come off the flower head with a gentle rub. Then sort the seeds out from the other odd bits that you don't want and store them in a dry but not too warm place in a paper bag.
You should have loads for next year
Good luck
Marc