You should select seed from plants that have the best qualities (slow to bolt, deliciousness, resistant to bugs . . . ) Keeping all of that in mind, to collect arugula that is going to seed:
1) When arugula is going to seed, it starts getting much taller & sending up a stalk & white flowers. (You can see them growing amongst my peas in the photo above). After the flowers bloom, the seed pods will form
2) Once, they have browned & dried, cut the seed pods & stalks off the plants.
3) Once the seed pods have formed & started to dry, pick them. You can easily separate the tiny black seeds, by "squishing" pods. If they are ready, they will open easily. Below, you can see my doing it on a sheet . .
4) Separate all plant matter from seeds; and let dry fully in an envelope & jar.