Same way as the dill.. let the pods stay on the plant and mature completely until dry, gather carefully with a large bowl they sometimes pop open! Always save the very best plant from the worst growing spot for seeds! For positive trait selection.
if you go onto google IMAGES and enter okra seed pods, or dill seed heads
There is no trick to this one at all. Let a couple pods get big, cut them and they will dry. In the Spring break the seeds out! Easy Peasy! Sometimes we toss the big ones into the lawn and they sprout!