I love these peppers--small red, orange, and yellow. After you wash them, you don't even need to cut. Just roast them whole with some large chunks of onion and a little olive oil. 350 degrees for around 30 minutes, or until they caramelize.
Then right out of the oven, drizzle with balsamic reduction. YUM! We're having ours with grilled pork chops and a bit of rice.