It won't hurt the seeds to stay on the plant, so you can wait a week or two, if you like. You can't lose the seed, since you have it contained in a bag. If you prefer, you can cut the flowerheads just as they begin to wilt/fade. Leave a piece of stem attached, about 6 or 8 inches long. Tie the stems together, put the flower part inside the bag and secure it, then hang the whole thing upside down in a warm, dry place.
I used to string a clothesline inside my garage for hanging herbs and/or flowerheads. Check them every so often, and by the time they're dry, most of the seeds will have fallen into the bag. You can shake or tap the bag to make sure all the seeds have been released, before you open it.