Red Anaheims are a pain to peel. They lose moisture as they ripen and the skin wants to stick to the flesh. You can TRY to roast them, but don't let them char as much you would green ones. Let them just blister and stick in a bag and sweat for an hour or so. I prefer to do only green ones because of this reason.

I've done them on my gas grill before, but throwing them in a nice hot pile of charcoals works great.

Saving seeds -- if you want to isolate to ensure purity, you want to use a seed saving bag or make one out of tulle or... isolate the plant by spacing 300-400 feet(not feasible for most growers). If you don't mind the chance of cross pollination, then just wait until the biggest, best looking one turns completely red and wait a week after that. Harvest it, split it in half, place on a plate and place on the counter for a couple weeks before removing seeds and placing in an envelope/baggy and storing in a cool, dark, dry place.

Kevin

I agree that they aren't as easy to roast and peel as other Numex varieties. They do have that same tough skin though. I blister mine on a charcoal grill and cover to steam. If you're not going to use them right away, you can freeze them on a tray, then bag them to keep in the freezer. When you're ready to use them they are easier to peel before they're totally thawed.
John A