Are you thinking of sowing the seeds or using the seed as coriander?
An easy way to dry them is to stick them in a paper bag with only their stems sticking out the top. Then you can tie the bag closed around the stems with a string or rubber band. Then hang them. The seed may fall out in the bag but you won't lose it.
Cilantro "seed" is actually 2 seeds enclosed in a husk. The shape of the seeds is hemispherical (there's a word I don't get to use everyday ). If you run over them with a rolling pin, the husk will break loose from the seeds. They should germinate better if they are separated like this. And, if you use the seed as coriander, you don't want the husk, anyway .