So best way to collect seeds? Plastic bag over the main fruiting flower?
No, that will cause it to sweat and develop mould which you definitely don't want.
If you want to bag them then use a paper bag as that allows movement of moisture but can be soaked if it rains. To be honest just let nature take its course and as the flower heads dry out give them a gentle shake whilst holding a receptacle to catch anything as it drops off. Buddleias are prolific seeders so you won't have any trouble gathering some.
The other way to gain new plants is by layering low hanging in either the ground or pots. There's plenty of videos on YT that demonstrate this method.
As slowworm mentioned, the thing to remember is if you want a particular plant because of flower colour, size, cultivar etc. then seed collection doesn't guarantee you'll get that plant as the flower could have been cross fertilised from a different plant with different characters. The only way to ensure you get the exact plant you're after is to either take cuttings or by layering.