Collecting seeds is one of the things I find most fulfilling about gardening. Cradle to grave, in the best, most sustainable way. You'll be feeling very self sufficient when you harvest your first set of home grown seeds!
Some seeds will be very easy to collect and you won't really need directions for stuff like the eggplant, peppers, squash, etc.
Collecting tomato seeds is a little different, and kinda gross. You scoop out the seeds and save them in a container til they get a little moldy, then rinse and dry them. There's some really good directions for that in the tomato forum.
The lettuce will be a little different too, but not gross or moldy, lol. They will continue to get taller and grow leaves on the central stalk (at this point the lettuce will be bitter, you may not want to eat it) then it will produce lots of little yellow flowers. The flowers will eventually close and drop the petals and then (finally) after a few more days you will see little white wisps (just like dandelions) poking out. At this point you want to start clipping off the flowers that look wispy on an individual basis, or they will blow away in the breeze. Separate the seeds from the chaff (I just roll them gently between my thumb and forefinger til the little brown seeds fall away), save and label the seeds, discard the chaff. And now you have seeds to plant in late summer for a fall bumper crop of lettuce.