It depends on whether the plants are hybrids or open pollinated.  Open pollinated flowers will produce the same plants next year but hybrids may or may not germinate and the end result may be different than the one you had.  Coneflowers may self-seed but allow part of the seeds to fall naturally and then save some for planting.  They also tend to be a short live perennial in that they may return for a couple years and then just seem to disappear.  Here is general info on storing seeds:

Store seeds in tightly sealed glass containers. You can store

different kinds of seeds in individual paper packets in one large container.  Keep seeds dry and cool. A temperature between 32° and 41°F is ideal, so your refrigerator can be a good place to store seeds.  A small amount of silica-gel desiccant added to each container will absorb moisture from the air and help keep the seeds dry. Craft supply stores sell silica gel in bulk for drying flowers.

• You can also use powdered milk as a desiccant. Use one to two tablespoons of milk powder from a freshly opened package. Wrap the powder in cheesecloth or facial tissue and place it in the container with the seeds. Powdered milk will absorb excess moisture from the air for about six months.
• Be sure to label your saved seeds with their name, variety and the date you collected them. Use saved seed within one year. The older the seed the lower the germination and vigor.