Wait for the seed to turn brown. They may need to be staked if you are in a windy area. The primary seed head ripens first and tends to have the largest, strongest seeds. Snip off ripe heads and place in a paper carrier bag hanging in the greenhouse to dry/fully ripen. Then it's easy to dislodge the seeds and winnow them to get rid of dust etc.
Note, strictly speaking you should have several plants seeding to keep the variety true and healthy (to avoid 'inbreeding depression') so I'd avoid saving again next year from the second generation. Also, if you are saving from an F1 variety as opposed to open pollinated, you may get variable results - but they'll still be parsnips! :-)