I grow a row of mixed colored zinnias that is about 100 ft long plus some other colors in beds throughout my yard and save all my own seeds for the next year. I just pick the seed heads and put them in a mesh bag. I don't separate the seeds at all. When I'm ready to plant I just take my fingers and break the flower heads apart, throw away the stems and center and plant the seeds chaff and all. I always have excellent germenation and have been using this method for over 10 years. I think having the chaff included with the seeds makes planting easier because I can see where I've planted the seeds when I put them in the ground.
I also give my zinnia seeds away and just tell the people I give them too the chaff is included so it looks like I just gave out a ton of seed but most of it is chaff. This year everyone I gave seed to told me they had good luck with their seed. I wish I had a picture of all my zinnias. They are just beautiful and are so easy to grow.
I'm a lazy gardener, I just couldn't imagine taking tweezers to seperate the seed from the chaff. Seed companies have machines that do that. I try to save as many seeds from my flowers and vegetables that I can to save money. I've always had great results with the seeds I've saved, probably better germination than what I buy.
Good luck and I hope this helps.