I dried mine last year and the year before thinking it was an annual. They do dry extremely well and keep their colour, I've still have chillies left from last year, kept in a jar in the kitchen. They turn a darker red when dried and are ever so hot, one is all you need in any dish...
Me thinks I'll keep a plant this year and bring it indoors. Once red on the plant though do they stay like that until picked no matter how long left on the plant. I've apache and cayenne and another 'west' something or other, would need to check the label.
Also tried to grow Chilli Jalapeno but this was culled in favour of the above as it didn't grow nearly as well.