I would not dry pepper or any seeds in the sun or the oven. Heat reduces fertility. Dry in the shade or inside at room temps. It might take longer but you're dealing with seeds- they're ALIVE.

You don't have to dry pepper seeds before planting.
My brother sometimes places an entire ripe pepper in the ground and tons of seedlings sprout from it.

You do want to make sure the pepper is fully ripe, not a green pepper when you take out the seeds.

A pepper requires a fair amount of heat (warmth) before germination. A trick I use to germinate pepper seeds is :
I take the seeds I want to germinate and put them in a damp paper towel, I then take this paper towel and place it in a zip lock baggie. I take the zip lock baggie and put it on top of the oven while baking something for about 1 1/2 to 2 hours.

The plastic doesnt melt on top of the stove and it provides the heat needed to start the germination. Most of the peppers that I've germinated this way usually germinate in about 7-10 days. This is even with the superhots (peppers that are said to take 90 days to germinate)
This method is great if you are baking chicken.

Not sure what that last sentence is about but I don't know anyone who bakes chicken for 7-10 days?? The ziplok over the pilot works great though. Instead of using a paper towel, I use toilet paper. It tears much easier when roots grow through it.

Very helpful all the comments. Thank you very much.

Thought I would chime in since this post has been bumped. Peppers do not have to be fully ripe to germinate, take Jalapeno and green bell peppers for just 2 examples. My suggestion would be wait at least until they get to full size. I personally wait until they start to turn color.

You might get seeds from immature peppers to germinate, but chances are that germination would be poor. Even if such seed turns out to be viable, it would most likely have a very short storage life. While I generally dry pepper seed, if immature seed was being used, I would try to plant it while still fresh.

Podpiper's recommendation above is a good one, since color change & seed maturity are closely linked. I've harvested half-ripe peppers just before frost, allowed them to ripen further indoors, then removed & dried the seed - which proved to be viable. However, that seed only survived a couple years before dying. For the best germination & longest storage life, the peppers should be fully ripened on the plant.