I am in zone 5-6. I usually over winter my dahlias and 4 O'clocks.
4 O'clocks produce large roots They do self seed, but if you save the root, you usually get a much larger plant. And, if you like the color of the plant you save, no change. Seedlings can vary in color.
I think peppers are tender perennials if I remember correctly. I tried saving a couple of plants several years ago.
I have saved Impatiens, it's easier to treat them as annuals.
Good article Tiffany.