Researchers have found over one hundred chili peppers at Guila Naquitz cave in Mexico which date to between 600-1521 AD so what i would do is just wait till the flowers have had there day and look like there drying.
Then i would cut them and in bunches tie them and hang them upside down in a paperbag.
Just done the same to 2 leek seed heads and a onion seed head to save seed for next year :-)