Make sure the plants you plan on saving from are heirloom or open pollinated varieties. Dont save seed from hybrids as they wont breed true, and most of the time not even germinate.

Pepper (And Tomatoes) are self pollinating, the male & female part is located in each flower. Usually you can plant them next to each other without much chance of cross pollination. They usually will self pollinate before there is time for pollinators or wind to get to them. The best way to keep pure seed is to use organza bags and just slip them over the flowers to prevent insects from getting acess to the pollen and then remove the bag once the flowers have set.

Thanks for the info dalmation1080, I just checked and most of my seed packs said heirloom except for a couple of sweet peppers. Which aren't the ones I wanted to save anyways lol. The only ones I don't know of are the reaper and bunch t I got from pepper Joe. Which I am already worried about after reading all the bad stuff of buying from him. But guess only time will tell.
Thanks
Rey