Prairie grasses can be collected by running your hand over the stalk. Make sure your bag or pail is under the stalk to collect most of the seeds. 

		Seeds from plants that have a seed cluster at the top of the stalk can be cut off and put into a bag or bucket. These seeds are easily dispersed by the wind. You'll want to check on the seeds as they ripen, so you can collect them before the wind carries them away.
golden aster (Chrysopsis villosa)

Other seeds can be shaken directly into your container. 

		Some seeds develop in seedpods that explode, releasing ripe seeds. Place a mesh bag over the pod to capture seeds when it explodes. You can also cut the pods off when they are almost ripe and put them in a box with holes poked in it for ventilation. As they ripens, the pods will open up in the box, and you can collect all of the seeds.
sand milkweed (Asclepias amplexicaulis)

Seeds can be planted directly after collecting. They should be planted in late fall so there is little chance they'll grow before winter.