Here are some instructions I found for saving sunflower seeds @ : http://ag.arizona.edu/gardening///index.html-
Flowers in the center of the flower disk will have shriveled. The flower head will have begun to droop and the green back-side of the head will have turned yellow. Finally, pull a few seeds out and split them with a knife. The kernel inside should be solid and well-formed.

To harvest, cut the flower head off leaving about one foot of the stem attached. Place the flower head in a paper bag or cheesecloth sack and hang upside down in warm, dry location. The bag will catch any seeds that may fall during drying. When the seeds have dried, they can be easily rubbed from the head."