I'm not much of a Gardner, but I would like to learn a little.

I had a sprout where I wasn't expecting one and decided not to pull it as a
weed, and a great looking little plant with vibrant red flowers w/ yellow
centers grew up. In researching it I've decided that it's a Zinnia that a
seed from somewhere happened to blow into my garden and grow, or that there
was a seed in one of the annuals that I did plant.

How do I collect seeds from this plant to try and grow it next year in my
garden? Or is it easier to just buy seeds at the store and grow them next
year (but I really like the look of this one, and it obviously likes the
conditions where it grew).

I'm in south eastern Michigan so it will be dying at the first hard frost.
If I learn how to collect seeds (how?) or if I buy them, is it better to
just plant them in the garden next year and try and differentiate between a
Zinnia sprout and a weed, or should they be started in pots and
transplanted?