The annuals that have acclimated in your garden will fare well next year for they have created a DNA memory of the conditions where they resided. For example: The children of a packet of marigolds will have adapted to our rather harsh conditions; they will require less watering than those adapted to conditions in Vermont.
Collect seeds when the Sun has dried all the morning dew and allow them to completely dry in a warm place in the garden before bagging them for storage. After a few hours one can test for dryness by placing them in a zip lock bag for a few minutes. If the bag begins to sweat, they are not dry enough and if sealed they will mold and become nasty mish. If they are still not dry by evening, take them to the house and continue drying… there is no rush to package them once they have been collected from the parent plant.
Once the seeds are completely dry, seal and store them in zip lock bags. *Tip: If you scour the closet and can find any of those silica packets that come in the pockets of garments or a shoebox, seal it in your bag of seeds. It will absorb any possible moisture left and assure the seeds winter well.
Label them and possibly include a slip of paper in the bag making note about their color, height, heat tolerance, when and where they bloomed and for how long. By Spring you will have forgotten the details about them so the reminders are quite helpful in planning where to plant them in next years garden.
When the great pyramids were opened, archaeologists discovered caches of seeds and upon planting these seeds, stored for thousands of years, a large majority of them germinated because of the warm, dry, and constant temperature within the pyramids. Obviously seeds must be stored at a constant temperature above freezing to assure viability. My seeds are stored under the bed in a roll-out plastic bin… they also rest for the winter in a open-woven French market bag hanging in my closet.
As a delightful garden game, have the children and grandchildren help collect… they will be so proud of themselves as they help plant next spring.