I tie the stems with the heads inside a paper bag and pin the bag to the cork boards above the kitchen radiator. Sugar bags are pretty good if you can't find unwaxed paper bags.
I like the bucket idea BR, but I just don't have room to trip over them as they dry like that, and the sheds and greenhouse are too cold and damp to let the seed heads dry out properly. Green (algae covered
) and pleasant Lanarkshire is really sodden wet.
cheers,
M