[BobBrisket]

It depends on the peppers. Some can be dried out in the sun like NM green chile. It's allowed to turn red on the vine, then picked and laid out to sun dry. It can also be turned into Ristras and dried that way also.
Chiles like jalapenos can also be dried this way after they turn red on the vine, but are also susceptible to mold.
A lot depends on how dry your climate is during the summer months.

Dry red pods are cheap around here so I just buy potato sacks full for around 15-25 bucks.
For jalapenos I smoke dry em in the UDS. Habaneros, I freeze whole and fresh. These defrost fairly well jalapenos not so much.
I just leave em in the UDS till they are completely dry. They come out pretty dark, but very nice and smokey.

One key if you smoke dry them is to draw as much water out of them as possible. I cut the jalaps in half then sprinkle salt on the inside. Put em upside down in a cookie sheet with paper towels so the moisture drains. Then a quick rinse after few hours (2-3) and into the UDS.

The biggest problem is mold forming on the inside. Our summers here reach 100+ temps, so a couple weeks outside in the middle of summer dries most peppers quickly and mold is not too much of a problem.