As with all other seeds, you need seed and cutting compost, sometimes called seed starter compost in other countries. The seeds themselves should be 'ripe', meaning you harvested them when the pods were dry and crackling. Separate the seeds from the seed pods and remove any bits of stuff remaining. Sow the seeds about a quarter inch deep in a seed tray filled with seed compost - you can do this now, mid to late autumn is the usual time. Mist water so as not to disturb the seeds, and place the tray in a brightly lit spot. Keep the tray at a temperature of 60-70 deg F over winter, and keep it damp but not sodden - they should germinate within 2-4 weeks. Prick out into individual cells or small pots, still in seed and cutting compost, when they have produced their first set of true leaves. Keep them at the same temperature, pot on as necessary as they grow, switching to multi purpose compost.
Once all risk of frost is over, plant out if they are big enough - if not, keep in pots until they are. They will not flower for at least two years, and the results may be variable - crocosmia seeds do not necessarily come true to the parent plant.
If you want to increase your stock of the Crocosmia variety you already have, you can dig them up, split the clump and replant separately either now or in spring. Any seeds not used now can be stored in a paper bag, in a very dry, dark place.