Once you have collected the seed and allowed it to air-dry thoroughly, you can store it in a cool, dry place until needed for planting the following season.

Also, store leftover seed that you purchased in the same way. To keep seeds dry, place them in paper envelopes or small paper bags and store them in a glass jar with a lid that seals tightly.

A desiccant or drying agent should be put in the bottom of the jar to absorb moisture.

Calcium sulfate (gypsum), calcium chloride, and silica gel are all good drying agents. Magnesium sulfate or borax, both available in pharmacies, are also satisfactory.

If these desiccant materials are not readily available, powdered dry non-fat milk can be used instead. Use a freshly opened box.

Place 2 or 3 heaping tablespoonsful on paper toweling or on several pieces of facial tissue, then fold together and bind with a rubber band to make a small packet that does not allow the material to leak out. Place in a wide-mouth glass container, such as a 1-quart pickle jar. Then put in the seed envelopes, close the lid tightly, and store the jar in the refrigerator.

Helpful links on seed storing: 

http://www.coopext.colostate.edu/TRA/PLANTS/veglife.shtml

http://www.ext.colostate.edu/pubs/garden/07221.html