Just let the stuff dry on the stem/vine and pop them off store, label and save!
Here's some okra pods looking great and harlequin-esque:
It's really cool when they dry because when they're ready to be gathered they typically split open at each edge.
You may need to be careful when the weather is rainy though because water can seep in and cause the seed case/seeds to mold within and then the seeds you so lovingly wanted for next year might be diseased or nonviable. Toss all moldy seeds you might find while gathering, or even whole pods if it looks pretty dire.
Okra seeds are great because there are so many seeds within one pod. Each "line" or section of the pod has a long row of seeds in it and if you allow them to grow, ripen and dry completely on the stalk you are definitely assured more seed that you'll probably need. I have at least 15 of these pods dry and happy on various stalks.
Same goes with beans and peas:
(well, ok I haven't saved my pea seeds yet because I grow so many varieties near each other that I am all worried and Gregor Mendeled-out about them, being pretty sure I won't get something true if I were to save and plant them, but I'm probably just being paranoid).
Gah, those square genetics tables! They're coming back to haunt me!