Keep up with the deep but infrequent watering. As the seeds mature, the plant still needs that water to carry out its daily functions, including seed formation.
Watch the back of the flower: When it turns yellow, you can harvest it (leaving about a foot of stalk with the flower) and then hang it upside down in a dry, warm, protected location.
Or, when the back is yellow you can cover the flower with a paper bag secured with string while it is still attached to the plant, to protect it from birds and other critters. Wait for the flower head to turn brown and the seeds to fully ripen. Then you can cut it off the plant and rub your hand over the seeds; they should fall out easily.