You can pick 'em when they are green if you want. I'd say in pa that late Sept would be okay here. Might be a little sooner where you are. I think the perfect time is when the pods just begin to dry and barely split open on the plant. They will start to turn yellowish. That's the best time to get them.
The most important thing after you pick them...wrap a rubber band around the pod. Otherwise, the pod will fully open and you'll have a mess. You should really be picking pods for NEXT year and several years down the road. They store well once dry so pick a bunch. You'll have a several year supply. There's a lot of floaters in just one pod.
And there's absolutely no need to transfer the floaters to another container. Mother Nature has provided the perfect container. Leave the rubber band on the pod and attach some sort of clip to the pod. I just thread a piece of dental floss thru the pod and tie it to the clip. Attach the clip to your coat and the floaters will always be easily accessible without digging in pockets and opening containers. With a clip, you won't drop it from 20 feet and when the floaters are stored in the pod they remain pristine and undamaged. A pristine milkweed float drifts on the wind better than one that's been stuffed in an pill bottle or other container.
There are some things that I know...this milkweed system is THE best wind indicator you can have and it's free.
You won't be sorry with this...