I grow Hungarian Wax chillies. They're the long waxy mild decorative looking ones which turn from green to yellow to orange to red and I always save the seed. You can save the seed from other varieties of chilli and peppers in the same way.
Simply remove the seeds, separate them from the white fleshy membrane and put them on kitchen paper in the sun to dry for a between 7 - 10 days, (possibly a shorter time if they're in full sun all the time) Store them in a dry envelope in the dark until you're ready to sow them but try not to keep them more than a couple of year.
If you're using an F1 hybrid variety of chilli you may find the resultant fruits turn out sightly different in terms of shape, but for most commercial chillies you buy this method will work.
I don't see why one should pay good money for packets of commercial seeds when you can crop them at home from the fruits for nothing.