To harvest canna seeds it is important you do not 'dead head' your flowers. Strictly speaking you can only harvest canna seeds from species canna. There are a number of hybrids that will produce seeds if allowed. Hybrid seeds however will not necessarily produce plants like their parents. In fact you can't be entirely too sure what you will get from hybrid seed. You never know, you might just create a purple leaved canna with white variegation that does not scorch in the sun. Unlikely though.
After a bee has had its wicked way with your flower, the flower will fade and fall off leaving a small pod. This pod begins to swell as the seeds inside develop
Canna flower and developing pod
The pods continue to swell over the next few weeks...
Canna seed pods
Warning! Do not harvest canna seeds until the pods have dried out and split to reveal the black seeds within. Failure to do so will result in white unripe seeds that will shrivel before your eyes. Net result - you will be sent in to a deep depression, perhaps only rivalled by that chap who, after having broken his leg high up on an Andean mountain, found himself alone at the bottom of an icy ravine. The word stupid crossed his lips several times, you may find yourself quoting him.
Canna pod ready for harvesting