Saving seeds will help you to save money in seed purchases every year. You will also be able to grow what you already enjoyed from last season. It is also a great skill toward your goal of self-sustainability. There are even seed swapping groups and seed swap events.
There are primarily two ways of saving seeds. They are the dry method and wet method. I had a post that talked about saving tomato seeds which is known as the wet method. Other crop seeds that can be saved using this method are pumkins, zucchinis and cucumbers.
The dry method involves harvesting mature seed heads and drying them. You will then winnow them until only the seeds are left. other crops that would use this method are carrots, cabbage, broccoli, onions, beans, and peas.
Here is an article that goes into further detail from Urban Food garden.com called “Saving Lettuce Seeds“. Below is a video that talks more about seed saving and also shows you the dry method by Roots and Refuge Farm.