Did you ever wonder why some gardeners don't harvest every pea, or bean, etc.? For me, it has a purpose! I leave them on to go to seed. This means that the shells will dry and wither and the insides will become hard. Once it is all dried out, it is ready to harvest for the next year!
Not only is it good to practice seed collection, but it also saves you money. If I don't like how a crop tasted, then I don't bother, but if it turned out AMAZING, then why buy the seeds twice when you have the free versions right at hand?
Give it a shot, even if it makes your garden look slightly ugly for a bit. ;)