A good test to know if the seeds will sprout is to place a few in a wet paper towel in a sunny window sill and see if they sprout. If they do then you are all set for next season. Remember to store them in a dry, cool, dark place so they aren't tempted to sprout.

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.