For the seeds to be viable they should be dark brown to light black. That is the color of the seeds coming from commercial packets. Once the flower head is dry then a finger pinch of petals can be separated from flower head and the seeds will be underneath. By taking the seed bunch in in the other hand and twisting the dessicated seed bunch it can easily be separated from the petal "chaff" which can be discarded.
The seeds can be put in a marked envelope and kept dry for next years planting. Zinnia seeds are not especially expensive but the seed packets do not separate the different zinnia types. This process will allow you to have more of the specific colors and forms that you enjoy.