Gladiolus seed pods are really obvious, they are fairly big (about 2 inches long or so) when mature, and develop from the base (ovary) of the flower. By then the flowers are long gone. To ensure seed production try crossing different glads with each other (transfer the pollen-dust like stuff from the three elongated anthers--they split down the underside and release the pollen soon after the flower opens--to the stigma (a filament with three branches at its tip that sticks out farther than the anthers). The pods will swell over a period of several weeks, and be ready to harvest when they change from green to yellowish/brown and begin to split from the top. Pick them then and place in a dish to dry thoroughly, they will split down to the middle into three sections, each with rows of seeds.
Each pod will yield many seeds, they are flattened and round, about a quarter to 5/8 inches across, with a smaller round seed in the middle of the flattened circular wing part. Allow seed to dry for several weeks, and then referigerate to preserve viability, and sow in spring, either in pots indoors or in rows outdoors after frost has passed. It will take a few seasons before you get flowers, probably the third year from sowing.
You are unlikely to get seeds from cut flowers, as it takes several weeks for the pods to mature and they need food produced by the leaves (and sunshine) during this time.