I know it's a bit early....or very late, but I wanted to share how I bag blossoms for seed-saving. This is a technique that I use primarily for my tomatoes and peppers.
The Easy Method:
Many large craft stores such as Michaels and A. C. Moore carry bags made of tulle that have drawstrings. Buy these in light colors and cinch them around your blossoms before they open. They come in different sizes, but I would definitely recommend the largest bags they have. These can be a bit pricey, but there's a way to make them more affordable. Check the ads in the Sunday paper. Most large craft stores have circulars with great coupons. For instance, "Get 40% off one regular priced item". Find the largest pack of bags they have and get them! If that is still too pricey, try this other option.
A Little Self-Help:
Use pre-cut white tulle circles or tulle rolls that they sell in craft stores. Typically with the wedding decorations. Thread a needle with a large eye with some yarn. If you need to, sew the tulle into a bag and tie off the yarn. Then sew along the top edge of your bag all the way around. Weaving in and out until you get back to where you started. Place the bag over the blossoms, and pull the loose ends. You can cinch it as tightly or loosely as you want. This takes a bit more work then buying pre-made bags, but it should save you some money.
No matter how you bag your blossoms, be creative. And remember, it's not important how you do it, it's just important that you do it for the sake of your seed purity.