The first thing to say is that over-Wintering chillis is not easy. There is no guarantee that they will survive, despite your best efforts. I have found that a 50% survival rate is a good result! There are some things you can do to make survival more likely though...
Choose the right ones
It makes sense to apply your over-Wintering efforts to plants that are slow to mature, not the ones that grow quickly from seeds. As a general rule the Capsicum Annuum varieties grow quickly, but the Capsicum Chinense and Capsicum Baccatum varieties grow much slower. Therefore the best ones to choose are Chinense ones like the Habaneros, or Baccatums like the Aji Limon. It is also good practice to choose strong healthy plants, not weak or diseased ones.
|"Pimenta Puma", a Capsicum Chinense type
Remember is that chillis are originally tropical plants, and they like warmth. They are unlikely to survive outdoors in a British Winter. So, you need to find a place where you can keep them warm. I suggest NOT your Living-Room, because this room will probably be subject to quite big temperature variations and the air in it may well be very dry. It would be better (if you can) to find a room where the temperature can be maintained at a more-or-less constant level.
Remember also that the object of the exercise is to keep your plants alive, not to make them produce out-of-season fruit, and you want them to be as near dormant as you can manage - so don't keep them too hot. Just think about yourself: can you sleep if it's too hot in your bedroom? No! I suggest a temperature of approximately 15C - 18C
In keeping with what I said above about dormancy, an over-Wintered chilli plant should not be given much water. Too much water will persuade it to produce new leaves too early. During the Winter months, water it sparingly (maybe once a week), and then when the weather warms up in the Spring, gradually start watering it more often and more generously.
Pruning and De-leafing
A chilli can lose a lot of moisture through transpiration, so for over-Wintering it is desirable to remove most of its foliage. I generally prune a plant to about a quarter of its original size, cutting the stems just above a leaf-node (which will promote new leaf generation at the appropriate moment), and removing almost all the leaves - certainly the big old ones.
|Pruning - cut just above a leaf-node or where a stem branches into a Y-shape
I think this is probably the critical factor. If you prune the plant too severely it will desiccate and die, but if you don't take enough off, the plant will not become sufficiently dormant. Trial and Error is the only way to get this right!
|The same plant, after pruning
Definitely don't feed your chilli plants during the Winter. Wait until the Spring for this, and start the feeding regime slowly - starting with a very weak feed and gradually increasing to full strength. I have tried a number of plant-foods specially formulated for chillis (e.g. the well-known "Chilli Focus"), but I have found I get good results with "Tomorite" tomato-food, which is much less expensive. If you feed your chilli plant, it will want to grow, and with the low light-levels of Winter it will probably produce weak and pale foliage.
Many chilli enthusiasts possess complicated (and often expensive) arrays of indoor lights for their chilli plants. There is no doubt that these are useful when germinating seeds and getting new plants established, but I don't think they are a good thing in the Winter-time. Using the human analogy again, do you really want to sleep with the lights on? I think it is better to place the chilli plants somewhere where they can get a few hours of natural light each day, but leave it at that. The plants seem to adjust all right to the day-length. I keep mine on the windowsills in a spare bedroom and a seldom-used Family Bathroom (we use an en-suite...). A conservatory or unheated greenhouse would score well in terms of light, but would probably be too cold.
When you bring indoors a plant that is used to living outside you need to be especially vigilant in respect of "creatures" - particularly aphids. Many of your plants are likely to have aphids' eggs or larvae on them, which in the normal course of events would be fed-upon by natural predators like the Ladybird. When you bring them indoors, the predators are not there and the aphids consequently thrive. Based on my own experience, I can tell you that aphids multiply VERY rapidly! I suggest firstly spraying your plants and the soil / compost in which they are growing with a proprietary bug-killer if you are not bothered by the use of chemicals, or otherwise with diluted washing-up liquid if you are. Do this at the time when you do the pruning. If you use the washing-up liquid approach, it's a good idea to "wash" the leaves that you leave on the plant, gently massaging the upper and especially lower, surfaces of the leaves. Hopefully this will kill the aphid eggs / larvae. Thereafter, keep inspecting your plants frequently, and if you see signs of aphids - act quickly!
Clearing the pot of any leaf-litter and miscellaneous debris in which insects could be hiding is also a good idea. At the same time remove all the lower leaves growing directly from the stem. Contrast the following two photos:
Finally, Plan 'B'
As I mentioned earlier, there is no certainty that your precious chillis will survive, so if you can, make sure you save some seeds from ripe pods, so that you can start again from scratch if you have to. Good luck!
Note: I'm publishing this post in conjunction with GoTo4Gardening, a new(ish) resource with which some of you may not yet be familiar. Definitely worth a look because it already has lots of interesting articles on offer, as well as a forum for discussions - plus freebies!