Want to save squash seeds from your garden? Thankfully squash sex bits are large enough that it is fairly easy to hand-pollinate them. This means if you are wanting true-to-type seeds, you aren't limited to one variety of each of the commonly grown Cucurbita species (C. argyrosperma, C. maxima, C. moschata and C. pepo.) I for one find this a blessing; with the wonderful diversity of squashes, there is no way I can only grow four varieties per season!
I find using the organza wedding favor bags less fiddly than using close-pins or tape.
It is notable that the process is the same for melons, watermelons, cucumbers and gourds. It is also important to understand that not every attempt is successful, even in nature, so don't be discouraged - just keep trying!
Detailed, beginner friendly instructions are available as this downloadable pdf file.
Note this process also applies to cucumbers, melons, and gourds.