I've not saved seeds from perennial salvias, but I'm sure it would be just like annuals. Immature seeds generally look green or white, ripe ones will be dark brown to black. Harvest a whole spike when most seeds are mature and black. If some are still unripe, it will be at the tip of the wand. Just break that off and discard. Place wand with ripe seeds in a bag, and allow to dry a week or so. close bag, and shake bag hard, bang it on a table to dislodge seeds. Dump in a sieve with holes big enough to allow seeds to drop through. Discard chaff and you should have viable seeds.
Karen