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Hi, I am fairly new to chilli growing, have a few plants in the greenhouse with several red chillies on them which I was really pleased with, but have noticed today that they have started to go soft, and feel 'empty' for want of a better word. Is it because they should have been picked while they were still firm, or am I doing something wrong.The packet name said Hot Cayenne.

If there is no obvious signs that the fruit is gone off or deseased..sounds like they are just over matured.  Ideally you would pick them when they are still firm.
But nothing is lost.. ;)..pick them and cut in half to see that all look good inside..place them on tray on top of kichen paper/towel and let them dry. When dry put them in jar and you can use them through out winter. Just chop some with scissors into stews and sauces... ;D

Thank you, will harvest all the red ones now before they deteriorate further.