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Any tips on the best way to do it? And when?

Wait until they are brown then best bet is to hold a receptacle underneath the plants like a bucket or big bowl then just rub the seeds off into it, then you can pick out any chaff and put into paper bags later on.

Yes do it as soon as they turn from green to brown otherwise you might find them all on the floor

.... which does at least save you sowing them again! Most of mine are just self seeded so I'm never without any.

Yes I'm trying that this year, as I have little success with the stuff I sow, all it wants to do is bolt.

Mine bolts too, but as every time I hoe more plants pop up there's always one somewhere to pick some leaves from. I do sow rows of it too as well. It's better suited as a spring or autumn/winter plant really though.