Lettuce flowers are small and yellow, and when they die they turn into green "thistle" with a white fuzz (similar to dandelions - every seed will have a white little feather like fuzz to help it fly!). Wait until these are dry (they turn brown). Carefully, cut the thistles and put them in a container. I recommend you use scissors, that way you will not lose any seeds as the thistles will open if you manipulate them too hard and the seeds will fly in the wind!
Take your thistles indoors and put them on top of a white piece of paper. One by one, hold to the white fuzz with one hand and the thistle body with the other and pull. You will see how the seeds will come out of the thistle and stay attached to the fuzz.