The best way to roast a red pepper is either in the broiler of your oven, over a gas burner on your stove, or on a medium-high grill. For the oven, place the pepper on a cooking sheet and set broiler for high. For the grill, place them directly on the grill, or on a fork over the burner flame. All methods require you to watch the peppers closely. Turn the peppers to char all sides. When blackened, place peppers in a brown paper bag to cool for 15 minutes. The skins will easily peel off the pepper.