I used a ziplock back cut diagonally so that I could close the zip-lock around the stem, and the rest of the bag would go around the bud like a shroud. Double benefit of protecting the buds around it from the pollen on it if you only want to pollinate one bud, and then you can flip the bag upside down so that any seeds that fall out of it collect in it.
For the most part though I never had a problem with them falling out of the buds while still on the plant. However when I'd cut and trim then hang them to dry ( yeah I do it backwards ) a couple will fall out into the bottom of my drying-box. Actually a really good way to catch ones you don't notice, I only got 5 seeds trying to do a CS reversal with the male open pollinating.
A little pollen goes a LONG way. I tried to find a picture of how much pollen I used the first time I got seeds, but it was seriously such a small amount you could have compared it to the size of a BB. More like the BBs in birdshot even. Ridiculously small amount, I cut it up with corn starch just so I could disperse it easier and more widely on a bud. Ended up with about 40 seeds with just that tiny amount.
. Can't wait to see how your crosses come out Van