I've been told that peppers tend to cross pollinate if there is lots insect activity in the garden. So I will put a screen cage over the plant I wish to save seeds from in order to prevent cross pollination if I'm growing more than one type of pepper at the moment. Peppers are normally self pollinating, so they will produce fruit in a screen cage.
I'll select the vigorous healthy plant to save seeds from. One that is showing the traits that I desire. Perhaps a sturdy stalk, not too tall. One with good flowering and fruit set. One that isn't getting attacked by pests or disease. Then I'll choose fruits that are the earliest, fully mature, and nicely formed. If I have a choice between one that is thin walled versus thick, I'll choose the thicker walled one.
I'll pick the fully mature fruit then cut it open to retrieve the seeds. No need to let it dry out first. I'll scrape the seeds out then rinse them off in a sieve, removing any pulp or little bits of membrane, miscolored seeds, and any small ones. I then spread them out thinly on a coffee filter to dry. I find that the old coffee filter (yes I'm a cheapskate. I'll use an old filter that I rinsed out rather than waste a new filter. I prefer the words frugal, fiscally wise, thank you. :) Anyway, I find that an old coffee filter works well since the seeds don't permanently glue themselves to the paper.
I'll leave the seeds dry in the kitchen out of the sun for several days. If its really rainy here, I'll take them to my seed farm where it is drier. But I keep them out of the sun and rain in an airy spot. It takes several days for them to dry adequately. If I can crack a seed in half, then they are dry enough. I'll then store them in a small canning jar in the refrigerator. I don't have a cool basement, so the refrig is my best bet.
If the pepper is a hot variety, I take one extra step. I will wear waterproof gloves when processing the seeds. I once made the mistake of processing Hawaiian chili pepper seeds with my bare hands, then scratched my eye. Ooowww-yyyyy. I packed my eye with yogurt, swearing never again, never again while waiting for the pain to subside. Im glad I don't have that on video.....cussing old lady first turning the sink sprayer on her face, then remembering that the burning stuff was an oil, went digging into the frig for the yogurt. Just picture it....I'm in the bathroom trying to blob yogurt into my eye which is spasmed shut, with tears streaming out both of them. Not pretty. Now I slip on a pair of gloves to pick seeds and wash those hot peppers. I'm taking no chances of a repeat.