You find them lying on the floor like this beneath the tall Nordmanns. I think with a little wind the cones are big enough to snap off the ends of the branches, which is why you find some still attached. But that is what you want. This is why:
You take hold of the branch like a handle with the part that goes inside the cone between your fingers. Then carefully you crank it like you're winding a clock, holding the cone firm in the other hand, and then pull.
And presto, the center piece that was holding it all together comes out, like a rod out of a gear-house, leaving the seed tower to fall apart. See it again:
Here is a single 'shelf' that goes to make up one the fir cones:
A single shelf holds two seeds on it. You remove the seeds:
Then comes the fun part where you de-wing the seeds (pluck off the wing attachments) and store them in a seperate bag. Wear kitchen gloves. These cones will get your hands frightfully sticky with their resin. Alternatively, your hands will smell like Christmas afterwards. So it's up to you.
The seed, above.
The seed I keep in the plastic bag in the fridge for storage. Later in winter I will stratify them. Meaning, they will be soaked overnight in distilled water, then they will be mixed with a damp sterile mixture of soil and sand (but not too much, and not too damp) in big enough sealable bags. Then it goes into the fridge until spring. When that happens you can expect some to already be sprouting in the bag in the fridge, especially if they are in there longer than they need to be. They are of course planted outdoors after that. If I follow procedure correctly (and it's not a difficult thing at all) I should get many of these: