Normally you want to pick all of your lettuce either before it gets bitter from days that are too warm or before it sends up a seed stalk (bolting). To save lettuce seeds, you need to let the plant grow flowers.
I cut the whole head of flowers off the lettuce when some of the seeds began to drop onto the ground and took it inside. I let it dry out a bit more in a paper bag.
One bolted lettuce plant could easily yield enough lettuce seeds for your whole next year.