Choose the pod -- or female -- flower that will produce the seed pod. Remove the petals. Identify the fringe of yellow pollen-producing structures called stamens that surround the central style. Cut the stamens off with small scissors so they will not accidentally pollinate that flower and so that the pollen will be available for planned pollination of other flowers.
The Misting Method: As you get more sophisticated in your rose propagating methods you may eventually want to set up a misting bench. It can be an open-air bench or one enclosed in a greenhouse, or even a small misting box, similar to the one my husband Bob built for me. (Refer to "How We Made Our Misting Box," from Rose Ecstasy. You could choose to rig it up with a manual or an automatically-timed mister, whatever your time, money, or expertise will allow. I am fortunate to have a very handy guy for a husband, who is a good sport whenever I come up with these crazy project ideas.
Please keep in mind that many rose bushes are grafted rose bushes. This means that the bottom part is a hardier rootstock that will withstand cold and heat better than the top and more desired part of the rose bush. Starting a rose bush from cuttings places the new rose bush on its own roots, so it may not be as hardy in cold climates or in extreme heat conditions climates. Being on its own root system can cause the new rose bush to be far less hardy than its mother rose bush.
One way to stratify the rose seeds is to place the cleaned seeds on a paper towel (a heavyweight brand such as Bounty). Then moisten the paper towel with a solution of half & half purified water and peroxide (to help prevent mold). Fold the paper towel closed, encasing all the rose seeds in the moistened paper towel. Then place the towel full of seeds into a plastic zippered bag. Mark the seed variety and date on the outside of the plastic bag with a permanent marker, and then place the bag into the refrigerator set at about 34-38 degrees. Never freeze the seeds, and do not let them dry out. The moistened paper towel should remain moist in the closed plastic bag for many weeks.
Cover the cutting loosely, pot and all, with a plastic bag or plastic wrap and keep the soil moist. Putting a tall stake into the pot will hold the plastic away from the leaves. If the plastic touches the leaves, they remain wet and can succumb to a fungus disease. Along the same lines, make sure the condensation can escape from the plastic or the stem will rot.