Pickled peppers can develop a tough, leathery skin if you’re not careful. If your peppers are already quite soft, you can pickle them with the skin still on. Otherwise, remove the skin. The best way to do this is to lay the peppers skin-side down in a frying pan over medium heat and wait for the skins to blister. This only takes a few minutes. When the skin starts to blister, remove from the heat. Then, you can easily peel the skin away. You can also blister them in your oven under the broiler.