@Kelly2 You have quite a mix here, some are not hardy so you would need to save the seed and store them to sow next year like Dahlias . Lobelias, Petunias, Busy Lizzies are all tender and do not tend to self seed.
Pansies and sweet peas are easy ones to collect the seeds, I always re sow in pots as the seedlings get eaten by the slugs/vermin over winter.
I am just now learning about sowing hardy annuals directly into the soil, but my question is...How do I distinguish them from weeds when they start coming up in the spring?
With difficulty, put a line of string along the row, when you see a line of all the same seedlings you'll know which is which, beware of slugs getting there first, they love a new fresh seedling,
I don't sow any seeds direct now for that same reason. If you keep potting them on and plant out a bigger plant they stand a better chance of survival.
There's an easy way to distinguish between a weed and a desirable plant - just give it a gentle tug. If it resists, it's a weed. If it comes out, it WAS a desirable plant.
Lyn is right - sow your annuals in pots/cells/WHY and the plant out where you want them.
Josusa - you made me laugh but plenty of weeds come out easily too - particularly if the soil is damp