Gomphocarpus fruticosusis is commonly known as swan plant in New Zealand. The 'swan' is the seed pod and soon these will burst open to disperse many seeds attached to the tiny silky white parachutes contained within.
In order to collect the seeds, just at the right time of their ripening and before they disperse, you need to remove the swan just when it is beginning to split open.
Peel back the outer swan skin and grab the flat centre section, in order to stop the tiny parachutes from flying away, then rub along the packed seed section and drop the seeds into a container. Spread the seeds out on a flat surface and leave to dry for several days, then place them into a dry container (ideally not a plastic bag that might become damp inside).
I always harvest seeds this way and, although I do tend to plant them quite quickly afterwards, at times I have successfully kept them for several years before planting.
It works well.