Don't give up -- I know how frustrating it can be to have problems with germination, but starting your own plants just gives you so many more options for varieties.
I agree with all the suggestions previously given -- peppers do seem to like a fair amount of warmth, but mine always have sprouted without problems with just the heat from the fluorescent lights that I use to start my seedlings (in a closet, so it warms up pretty good in there). Is it possible that yours are staying too wet and the seeds are rotting? (or maybe too dry, although you mentioned that they feel "warm and steamy" when you take the cover off). Also, not sure why but I've had better luck starting most seeds in potting soil, rather than the "seed starting" mixes. I don't think that's generally recommended, but after a couple of tries with seed starting mix that were pretty dismal failures I've stuck with just using Miracle Grow. And, as has been said already, the seed you have might just not have been viable! You can do it!!
