I"ve never had a pepper that needed support.

Some of my sweet peppers need support, since I like em red, and they produce so much heavy fruit....

I used a simple corral of bamboo stakes and yarn. The wire NOT-tomato cages they sell in Wal-Mart would do fine, as would Mel's wire cubes.

Here is a link that might be useful: How to build Mel's wire cubes

If the wind here can knock over a crocus, it can certainly can knock over a pepper plant. I buy dowels at Wal-Mart and tie the plants to them. Why take chances when $.49 will prevent problems?

I've never needed the support for my peppers -- but never had really big ones either...

I no longer stake any of my peppers. I plant all of them - hot & sweet - 1-foot apart & they support each other beautifully. In fact, now that I don't artificially support/stake them, they do much, much better. The severe summer storms - tornadoes included - that we get here weekly just used to blow over & uproot my staked peppers. No more staking for me thank you.

I also support them either with a bamboo stake that I tie the main stem to or with a NOT-tomato cage.