What you're talking about is not a breeding project but it is a selection project. We had a really interesting thread in General Discussion forum last year iirc, about this exactly... if large numbers of plants are grown you can indeed select for better stock.
If you only have a few seeds, I would grow them out first, and save seeds from every plant. Bulk them together for a bigger growout so that you can select with maximum variation, would be the usual approach.. For a home gardener though, you might want to save seeds separately from any plant that is outstanding in the bunch, and then focus on those if you can only manage a smaller growout of 20 plants or so.
