It's worth a try, although the resulting squash may not match its "parent" squash in form or flavor if it was the result of some hybridization. To save seeds, you should rinse them well and let them "cure" on a paper towel until completely dry (~3-7 days), then store in a cool, dry place until ready to plant.

Squash cross-pollinates VERY easily, so ideally, you'd not grow two varieties close to each other. I hope this helps!

Plant squash seeds in the spring in your garden after all danger of frost is over. Plant about 1/2 inch deep and keep soil moist until they germinate. They take up a great deal of room in the garden and as Lyndie pointed out, it may be a "surprise" what kind of squash you get.

There are a number of banana squash varieties, some of which are hybrids, but others of which do breed true. If you're going to experiment, just keep in mind that they need a lot of space and take quite a few days to mature.