Question: So I see there are seeds in cucumbers. But they're always so soft that I don't notice them when I eat the cucumbers.

I'm assuming that means the seeds are just young and not ready to be collected yet (kind of like how watermelon seeds start soft then harden). So how do I know when the seeds are ready to take from the cucumbers and what do I need to do to collect and keep them?

Answer: 
Pumkins, squash and cucumbers all are pretty easy to propagate by seed.

The important part is letting the fruit ripen thoroughly so the seeds finish formation.

So, you have to let one of your Zucchini or Cucumbers completely harden up (develop a rind) and change to full ripe color, ie leave it on the vine till the vine's nearing death. Winter Squash tend to be the least hassle for most people to save seeds from because you let them fully ripen for harvest anyway.

Cut it open, scoop out the seeds, wash them clean and set them out on paper towels to dry. You don't want them to remain damp, they will mold and rot.

Viable seeds will have a hull developed, semi hard because it's still damp which will dry out to form a tough seed case.

Store the seeds in a cool, dry place till next spring.
I have only done this for heirloom lemon cucumbers, but the idea is probably similar.
For one thing, leave the fruit on the plant longer so it matures more. The outer shell gets harder and goes different colors (at least on those - more orangey than white/yellow)

Then let it dry out in the house. Which won't happen (without rotting) if it's immature.