Saving Seeds from Foxglove

I have a nice foxglove plant that I purchased from a garden center, the question that I have is: where are the seeds for the foxglove located, so that I may grow my own for planting in my herbal garden, rather than buying them year after year?

When the flowers are spent at the end of the summer, seed capsules develop from each of the flowers on the flower spike. When the capsules turn brown and brittle, the seeds inside should be similarly brown or black. At this stage they are mature and ready to harvest. Cut the seed heads with the open capsules and shake in a paper bag to catch the tiny seeds.
The seeds can be collected and then spread out in a dry, protected area to dry out. After a few days the seeds should be sufficiently dry to store.
You can also plant the seeds immediately without drying. They are very fine so you need to be careful not to cover them too deeply. You can sow them in a seed flat filled with a sterilized sowing medium, or you can try scattering the seeds directly on the ground where they are to grow.

Are foxgloves perennial or annuals?

Depends on the variety. The purple foxglove (Digitalis purpurea) is a biennial, flowering and dying in the second year. There are some annual hybrids that are commonly sold. The grecian foxglove (Digitalis lanata) is a biennial or sometimes it persists a third year so it can be classed as a short-lived perennial.