Yes, you can make your own seeds from peppers and chilis. Just spread them out to dry on kitchen paper or a saucer and leave them there for a few days in a dry place. I normally just keep them on my kitchen cupboard for a week or so; I don't know if it's advisable to let them dry in the sunlight. The reason I don't leave them to dry out in the open is I'm afraid some insect might lay eggs in them!
I've been making my own pepper and chili seeds for years; also "stealing" a new variety's seeds from peppers I'd bought. It always worked fine, though peppers tend to hybridize a lot, so if you grow more than one variety I recommend you "bag" them (for more information see: http://faq.gardenweb.com/faq/lists/tomato/2005025852004159.html).
Another thing is - some pepper varieties are sold unripe (green peppers of course, but also Purple beauty and some orange peppers that are "purple" or "orange" when still unripe, then change colour when they ripen). Their seeds are unripe too and won't germinate. It's happened to me a couple of times.
But generally speaking, success is assured.
So good luck with your seeds!