I would harvest them. Too bad we can't determine when they ripen but once you start picking them, the others will likely start to ripen quickly and you will soon be picking in bunches. You could try putting them in the frig. If you leave them on the plant too long or pick them and leave them out, they will start to soften and even rot if they dont dry out fast enough.
Bruce

I run a needle and thread through the base of the stem and hang them up in an area with decent air flow. They are thin skinned and dry easily. In your case I would hang them or freeze them whole as they ripen until you have enough for your recipe. My peppers are late this year due to the wonky weather. I didn't grow Cayennes this year, but have a few Georgia Flame and Espelette pods which are just now starting to change color.

fill a jar half way w/ vinegar and add a bit of salt and garlic sto are it in the fridge, every time u harvest a pepper cut up the pepper and drop it in the vinegar, this will preserve ur peppers long enough to harvest enough fo a sauce, if u want a cvinegar based sauce, just puree the peppers into the vinegar if not u can pull them out and use them as u would then u have pepper flavored vinegar for later, just a thought.

preserving in the apple cider vinegar is pretty tasty too. that's become our favorite kind to use!

yes cider vinegar is tasty it just depends on what you are looking for in ur final sauce preparation as to which u will want to use, I have peppers preserved in cider, white, red wine, cane, rice wine, champagne, plum and white balsamic, it all just depends on what u will use for as to which is better

I stuck the 2 peppers in a jar with a big clove of garlic and a little salt but for now I went with "normal" vinegar since I'm not sure what ACV hot sauce would taste like. A co-worker brought me a Bhut from her garden and I'm tempted to stick it in there too but she's done a good job of scaring me with how hot it is. Are they really THAT hot? She said her husband loves hot stuff and one tiny slice in his soup had him in pain for 20 minutes!

yes, the bhuts can be quite hot but the good thing is that just a little can go a long way :) the heat intensity can vary a bit so you'll want to start out quite sparingly and then adjust accordingly to your taste.