I've always meant to transplant a couple pepper plants in the fall to overwinter them and get a head start on the next spring, but the frost always sneaks up on me, and then I'm in a tizzy harvesting the last of the peppers before the frost hits, and don't have time to transplant anything.
From what I've read, they're technically perennials and will keep on flowering/fruiting indefinitely, given the right temperature and light conditions. You'll need to keep them alive and growing over the winter, though, not completely dormant like geranium roots or dahlia tubers. Don't expect any fruits from them, even if you put them under grow lights. The goal is just to have extra-large plants to put outside the next spring.