Monster Trophies like those dropped from overland creatures (http://en.uesp.net/wiki/Online:Trophies ) can be sold to vendors (or kept if you like them). They are already recorded in your achievements for the collectibles as soon as they drop. Collected these random drops from all of one type of monster will give you a dye. For example, I just need the Smouldering Ember Heart to drop in order for me to have collected all four of the Atronach trophies.
Now, I don't think you meant the Group Dungeon monster heads/busts that you can get in your collectibles menu from completed normal and veteran dungeons, but if you did you can place those as furnishings in your house. They will take up a special slot as a limited number of collectible items you can display.