First, you are correct in that peppers typically self pollinate ensuring purity. But they can and do cross pollinate. Some species cross with others easier than some. To prevent crossing, they say you should keep your species separate by anywhere from 300 meters to a mile. But there are other ways around this. you can manually pollinate a bloom and ensure its purity that way. Check the link below for the steps involved. Just ensure you use pollen from the same species of pepper. Another method that I know of is to "bag" several blooms. To do this, you create a "bag" out of tule fabric which is like fine screen fabric. Then you close this bag over a section of a branch on your pepper that has several new buds but no open blooms. Then when the blooms open, and pollinate, you can be almost 100% sure they were pollinated by themselves or other blooms within that bag. It is a fine mesh so only very tiny insects can penetrate it. There is still the chance of some wind born pollen getting through but it is highly improbable. Once the blooms set fruit in the bag, you can remove it but be sure to mark the pods somehow so that when they are ripe, you can harvest their seeds.
Deliberately crossing species is relatively common. There are always people experimenting, trying to come up with something unique. Maybe they are looking for the next World's hottest pepper or something bigger than normal or something unique in shape or color. The process for doing that is very similar to manual pollination method for ensuring purity. You just use pollen from the plant you want to cross as they describe in the article.

I have "bagged" peppers before but never manually pollinated any or deliberately tried to cross any.

Bruce

Here is a link that might be useful: Fatalii's Growing Guide

Some hybrids may not reproduce true. Biker Billys are an example.
John A

Ristra Cayenne are another example. I think more time is needed to stabilize a cross by selection and re-growing the F series out, if you get what you want by say F-5 or more then it should be fairly ok as a successful cross.

Not long ago, I read on a different thread that 5-gallon paint strainer bags work well on smaller plants to keep the pollinators out. My local big box hardware store sells them 3 for $2.78, so I tried them on a couple of my pots of short pepper plants. They have an elastic band to grip snugly around the rim of the pot. I've had them on for a couple of weeks and the plants look fine. They were just starting to bloom, then we got 100 degree temps, so I'll leave them on for a while longer, and mark any little fruits for seed saving when I pull the bags off. I wouldn't do that with two varieties under the same paint strainer bag, though, in case any little bugs get caught inside and cross-pollinate them.

Last year, I used 6-for-$1 organza bags from Dollar Tree store (there are other sources, too) to bag little individual flower clumps. That works OK of the buds are in a small cluster at the growing tip of a branch (remove bag and mark fruits once the fruits have set). But those small bags are useless if you have hanging buds scattered around in the crotches of the branches like some pepper plants have. You may need to find or make a larger fine mesh bag that will fit around a whole branch.

I also follow - I think - smokemaster's idea of bringing pots indoors for a while to protect them from cross-pollination. I'm pretty sure, if they are indoors, you have to brush or agitate the flowering plants sometimes or let the fan blow on them to shake up the pollen inside the flower so they will self-pollinate.

If anyone has grown the Fish pepper you will know that this has an albino gene, which will disappear (or change) if crossed with another pepper. To avoid this, I grow my fish peppers on the south side of my house, and my other hot peppers are grown on the north side. I save seeds for re-sowing and I have been able to preserve that albino gene for a few years now.

Once a flower bud is plump enough that it looks like it may open in a day or 2, you can "bag" it up by covering it with cheesecloth and tieing it off. The peppers do a good job self-pollinating, but if you're counting on seed you'll want to bag multiple flowers for seed saving.

I've done some deliberate pepper breeding, past and present. I'm currently working on an Anaheim x Cubanelle cross. It's boring, but I'm looking to add some better traits to an awesome tasting Cubanelle which unfortunately has weak heat and thin flesh.