You are to leave the cukes grow and ripen as long as possible in the garden. Here is one of the ones from the wire that has yellowed nicely.
When I was worried about frost, I picked the large yellow ones and allowed them to ripen off the vine even more. You can see the one in the top left is starting to rot. It is now time to save the seeds.
First you cut the cucumbers in half so you can scoop out the seed pulp.
You do not need the flesh and skin so add those to your compost heap. If you have chickens they may eat them as well. Lulu is a more finicky eater and likes the seeds not the flesh.
After the second time, I rinsed the seeds well to make sure no bits of flesh were still attached. Drain them well and place on paper towels or screens to dry for several weeks. When they are hard and dry, bag and label for next year's use.