All chiles are perennial, ie, they don't need to be planted yearly.

Go buy some jalapenos in the store and save the seeds from them and dry them out well.

Plant the seeds.....you're started.

Peppers are a full sun plant, you should keep them outside in the pot rather than inside. Go for a 12" or larger pot.
Bring them in if the night-time tempratures are cold (if they freeze they will die)

I wouldnt bother with coffe grounds and egg shells in your pots, but if you want another stress release project you could start vermicomposting those coffe grounds and egg shells. Im going to start a bin soon, I just need to obtain some starter red worms.

Like willard suggested you can get seeds from any pepper that you buy from the store, or send me a SASE and I will send you some lemon drop seeds (which do well in a pot).

The calcium in the eggshells is an important nutrient, to prevent a condition called blossom end rot. This causes the young fruits to rott and fall off. Its a real bummer.

I have some small bolivian rainbows too! I also have florescent purples and explosive embers! They are growing very very slowly but they are growing. Mom had an ornamental pepper plant for the longest time and so has my neighbor.

Most people don't bother eating the peppers but I am planning too.

If you are just keeping them as a potted plant I don't see why you can't just use a potting soil for tomatoes, and a tomato fertilizer, to prevent blossom end rot like someone else mentioned. I think, but I'm not postive, that bolivian rainbows prefer to dry out a little in between waterings, maybe someone else can chime in.

Since most are perennial, how many of you actually keep them for more than one season? I live in Arizona so I think aside from a few cold winter nights, the peppers will do well here over the winter. I havent heard definitive answer on keeping plants over one season though. I'd love to do that though, because I get attach to some these guys!!

Since you're new to gardening, starting with something simple is best. I started with Jalapenos and Anchos. They do well and are a little forgiving for beginners. I also grew both in pots as well as in a garden. They did well either way.