Not an expert in this area, but, I have had success cutting open a fresh ripe pod and just saving the seeds on a paper plate. I have never tried drying them in the pepper and germinating them.

regarding saving your seeds / cross pollination... There's a good chance they will not be hybrids, just because they are perfect flowers...better chance they will pollinate themselves. But, if you want to be sure, you can bag (tulle fabric is good) a couple blooms before they open. Then when/if a pod is produced inside the bag, keep a twist tie for a marker so you don't loose track of the one you bagged. Use those seeds for certainty. Of course, if they were a hybrid to start with, no guarantees on the traits in the successive generations. Depends on how stable the hybrid was.

Not too sure if your peppers crossed always a possibility at least you bagged some of your Bhuts. I had success with Bhut pods by cutting in 1/2 leaving the seeds in and air drying as well as plucking seeds out of the pods and drying on a paper towel. As for how long never measured but you will know by looking at the pepper and it's so dried it can't dry any further. Then I put in a zip lock freezer bag with a napkin or paper towel to absorb any moisture if any became present and stored in the kitchen cabinet. I had 90% germination the next season.

Thanks tsheets. Pretty much answered my questions. I know about bagging blooms. I did that on one of my Ghost Pepper plants this year...I wound up with three pods that are guaranteed to be pure.

Thanks all you guys..questions answered...what more can I hope for.
Have a good growing week all.
Bruce