Peppers and chillies are fairly easy to save for seed, as you can harvest the seed at the same time as you harvest the fruit for cooking.
If the fruits are large enough, simply remove the core, with the seeds attached, and then scrape the seeds onto a plate. For smaller fruits, you may have to scrape the seeds off the flesh as you cut them up.
Leave the plate in a warm, airy place until the seeds are completely dry. This may take a few days.
Then scrape the seeds off the plate into an envelop, and label them with the variety and the date.