Ask Mr. Smarty Plants

Lupinus texensis (Texas bluebonnet) seeds ripen in Central Texas between mid-May and mid-June. 

It's usually pretty hard to miss seeing bluebonnets that are going to seed since the most often rise above most of the surrounding vegetation and they make the area where they're growing rather messy-looking and unkempt.  In some cases, later-flowering plants like Coreopsis and Indian Blanket can obscure them.

Many people pull their bluebonnet plants as they are yellowing or turning brown and hang them upside down to dry in a place where the falling seeds (ejected, actually) can be gathered.  When the seedpods are fully mature and dry, they split open along a suture and the small, hard seeds are ejected quite some distance - a clever natural strategy for spreading the seed to new areas.

You can pick only the seed pod of your bluebonnets, but you'll want to wait until they are dry before doing so.  By waiting, you run the risk of the seedpods already being empty by the time you're ready to harvest.

If you simply wish to have another bluebonnet display in the same location next year, just let your plants go to seed naturally and mow or otherwise remove the dead plants afterward.  Since bluebonnets form nitrogen-fixing nodules on the roots, leaving the roots intact will improve the soil.  Alternatively, you can pull the plants to collect the seeds and later compost the plants to help create a really rich soil amendment.