2022 seeds I’ve saved

I've got three carrots that were sown this year, but have massive flower heads on them, so I'm excited - that'll be the first time I've saved carrot seeds

Should I put anything around them, like a bag or anything? I don't know what I'm doing

To be honest I probably wouldn’t save them. Carrots are biennial so as they’ve bolted, there’s a high chance all their offspring will as well. If you want to save them anyway. You shouldn’t need to bag them. Just make sure you’ve not got any wild carrot growing close by. Because they will cross.