I live in Maryland. Map says zone 7, but according to what survives and what doesn't, my yard seems to be more of a 6b.
If you have frost, your pepper plants will not survive... they will not die back to the ground and return in spring. If you have occasional frosts or freezes, you might consider throwing on some row cover (spun polystyrene made for this purpose, usually comes 6 feet wide and 25 or 50 or more feet long)... even old sheets and quilts will work. Plastic will not work, unless you put it over supports so it doesn't touch the leaves. For a frost, you can also get away with going outside before direct sunlight hits the plants and rinsing off the frost with a hose.
If you have temps below freezing for weeks at a time, it may not be worth trying.
You might also enjoy the vegetable gardening or regional forums for finding input from somebody with a similar climate. DH wants to move to FL in a few years, but I'm really just guessing about zone 9 gardening!
