I have found mine to mold inside of a paper bag with some holes as well as plucked from the stalk and allowed to dry inside. The only way I seem to keep them from molding is to harvest and separate from the seed head and air dry.
My mother and grandmother always used old nylons. They went on when they were 3-4 inches in diameter and stayed on until after harvest and drying. It kept the bugs and the birds out.
I used panty hose last year with perfect results. On northwestedible.com I learned that if you can buy a box of nylon footies that shoe stores have, you can use those. I bought cheap knee high panty hose in multipacks and snipped off the foot, wrapped the flower and tied (if needed) the excess into a knot to keep it from pulling itself off. For the subsequent flowers you can simply tie a knot in the cut panty hose end, cut off a section, wrap and knot it around a flower, and repeat the process with the next flower. Mold free.
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I have found mine to mold inside of a paper bag with some holes as well as plucked from the stalk and allowed to dry inside. The only way I seem to keep them from molding is to harvest and separate from the seed head and air dry.
Hopefully you will have better luck than I.