I don't know how winter hardy Walla Walla onions are in your location. I'd recommend leaving them in the ground. If they are larger than a golf-ball going into winter, then I'd expect them to flower the next year. If you want to hedge your bets, you could try storing some indoors, but that seems kinda iffy for Walla Walla.
Harvest seeds when the seed pods start to dry down. I harvest them, and toss them into an open
bucket and allow them to continue maturing. At my place, grasshoppers are voracious predators of onion seed, therefore, I tend to harvest about the time that the grasshoppers start eating the seeds, even if that seems a bit immature. If I see any black seeds in the head, that's plenty mature. Once the pods are dry, I crush them between gloved hands, sieve them, then winnow.