i don't grow summer squash or cucumbers but those seeds might be more like the melon squash and not have that slimy coating on them that dries to a very thin shiny film that flakes off when rubbed.
It's a little off topic, but since you mentioned cucumber seed...
Yes, they do have a membrane around each seed, which can be difficult to separate. The cucumber must be fully ripe, far beyond the stage at which it is normally harvested (the same can be said for saving summer squash seeds). It helps to let the seeds remain in the cucumber as long as possible, several weeks after picking or until it starts to spoil, whichever comes first. The seeds within will continue to fatten up, which will increase their storage life. A little mold on the outside of the cucumber will not damage the seed.
For seed saving, I cut the cuke in half lengthwise, cutting around the outside to avoid damaging the seeds. Scrape the seeds & as much juice as possible into a container (preferably one which will be thrown away after). Scraping the seed cavity with a spoon will increase the amount of juice. DO NOT ADD WATER. This mixture will be allowed to ferment (the same process as fermenting tomato seed), so place the container in a location where the smell will not be a problem. Watch the seed carefully, stirring at least once a day, to check if the membranes have begun to detach.
At the first sign of broken membranes (usually after 2-3 days) pour the mixture into a larger container, add water, and beat vigorously with a wire whisk. Most of the membranes should separate, and the good seed will sink to the bottom. If seeds are floating at the top which appear to be good, their membranes may still be attached, and further vigorous stirring with the wire whisk may be needed. After the good seed has settled to the bottom, carefully pour about 1/2 of the water off the top; debris & bad seeds will float & be poured off. Add water & repeat until nothing remains but the seeds at the bottom. Pour this seed through a strainer, wick off as much moisture as possible, then spread the seeds out on a flat surface & dry them as quickly as possible.
This process seems complicated, but you won't need to do it often. Cucumber seed, properly dried & stored in a cool location, has a very long life. Mine have survived as long as 10 years, in a sealed container at 68-70 F. room temperature.
Keep in mind that cucumbers can cross-pollinate with other cucumbers as easily as squash, and from about the same distance; but unless you are growing something rare, that may not matter. Whatever crosses do occur will not be as unpredictable as squash crosses can be, since there is much less variability within the species.