When you save seeds for starts for the next season, make sure that they will actually grow from seeds. Hybrids will make seeds, but they are usually sterile. Also, make sure that you have no moisture in the container you use to store the seeds or they will mold.
It's easier to just deadhead the flowers you want the seeds from and toss them where you want the plants next season. They won't germinate as fast as if you start them inside or in a greenhouse, but it is easier. It's kind of messy-looking, though.