Welcome to MalwareTips
Not everybody here hunts for malware, in fact most of us don't, but if you're interested in how it's done, take a look at this for a recent example:
http://malwaretips.com/threads/is-this-a-legimate-website.28831/#post-214580
As for safely harvesting them, the general process is to use a sandbox or virtual machine to prevent any malware which is downloaded from actually infecting your computer (it is either contained in a specific part of your hard-drive or in the case of VM, a virtual computer. With more experience you begin to learn when it is safe to click on a link to download and save malware and when doing so might lead you to an exploit pack which will do the downloading (and the executing) for you.
If you're even more curious than that, let me know and I'll see if I can show you some more examples