Freezing chili peppers is a good idea if you have a large crop and want to save them for later use. You don't have to cook your chili peppers before freezing, although you can skin/peel them if desired. Just keep in mind that after you thaw them, the skins usually come right off easily. Simply wash the peppers, drop them into a ziplock baggie, and set them in the freezer in 2 lb bags.
You can also freeze roasted chili peppers and even chop them up before freezing. When you thaw the peppers out for later use, they can become limp and rather squishy (though not always), but they won't lose their flavor.
Note from Grandma: We asked grandma, who has been preserving peppers for much longer than we have, and she says freezing is her preferred method. Grandma likes to simply wrap them in tinfoil and freeze. It works for grandma.
Also, a question was asked, "Can you refreeze thawed chili peppers or vegetables that have been previously frozen?" The answer, from FoodSafety.gov: "Thawed or partially thawed food in the freezer may be safely refrozen if it still contains ice crystals or is at 40 °F or below. Partial thawing and refreezing may affect the quality of some food, but the food will be safe to eat."