We wash them thoroughly, salt them lightly and spread them on a baking sheet in a low oven. That's if you want to eat them.
If you want to save them for planting, the first thing to do is make sure you aren't wasting your time; Try to remember if you bought a hybrid species. If you did, it's likely the seeds are sterile and will not germinate. If not, proceed to step two.
Step two would be drying them. Wash them with warm, soapy water to get the gunk off. Pat them dry or strain them, then spread them out to air dry for a few weeks, the longer the better. Store in a paper bag in a cool, dark place until you're ready to plant.