Well, a pepper produces flowers that contain both male and female parts. It achieves self pollination due to its anatomy.
In nature, cross pollination seldom occurs for pepper plants, intervention is required. The easiest way to do this, select an unopened flower preferably in the morning, gently open it, and remove the male antlers. Tweezers help with this. The male antlers don't open to drop pollen until the flower has opened naturally so there is little chance of self pollination at this point.
Take an open flower on the plant you want to cross with, and remove the petals, then use this de-petaled flower like a brush, painting the just opened flower on the other plant. Protect this freshly pollinated flower from other flowers on the same plant with a small paper bag of some sort.
This is done much easier indoors where nature won't intervene. Obviously you'll have to remember/mark your crossed fruit and you won't see your results until you grow the seed out. It's best to do several flowers like this for more chances of success.
Edit: different expressions of genes will start to show in f2 lines. Note that as soon as you grow out an F1 seed, all pods from the f1 plant will contain F2 seeds automatically if the plant is allowed to self pollinate as normal.
Hopefully that was easy to understand lol