I've joined the Seed To Seed Challenge this year, so I'm trying to save as many different kinds of seeds as possible. I grow chili peppers every year and this year I'm growing a new variety, serrano (editor's note: it was an Early Jalapeno, not a serrano). So I'm going to save that seed.
Peppers have perfect flowers (ie have both male and female parts on the same flower) and are self pollinating. However unlike peas, beans and tomatoes, which are also self pollinating they are a bit more promiscuous. The other three don't tend to cross pollinate. They tend to self pollinate before the blossom opens or they hold the stigma where the bees can't get to it easily. Sometimes they will cross, but usually they come true even if you do nothing to separate them. Peppers don't do that and the bees just love them. So to keep them true to type they have to be isolated.
Last year we replaced some of our old windows that were rotting out. I saved all the screens. So I took two of them and took the screening out and made a 1'x1'x2' box with it. My windows were 2'x4' so the size was just right. One full screen made the outside of the box and a bit from another made the top. I sewed it all together with some fishing line I had.
I chose the best pepper plant I had. It produced early and was producing a lot of peppers. I stripped off all of the peppers it had set - even the tiny ones. There were no open blossoms or I would have taken them off too. Then I put the cage over the top. I won't keep it on forever since I think it shades the plant too much. I'll wait until it sets a nice handful of peppers then I'll take it off and mark the peppers it did set. Those peppers I'll let ripen. I've been eating my serranos green but these have to get red and start to dry out. So they will be on there for a long time. I hope I didn't start too late, but I think I'm OK. I waited this long because I wanted to have some warm weather to make sure the seed was the best it could be.