Obviously this is a recipe for jalapenos, but any pepper that you can get the skin off will work, too. If you don't want spicy, do it will bell peppers. I've done this with red peppers and it's awesome. Serranos work, too, but they're fiddly. Poblanos, Hatch and Anaheims are good alternatives.
Coat the jalapenos in some olive oil and grill them over very high heat until the skins blister and char. Alternately, you can do this over the burners of a gas stove. When the skins are charred, put the jalapenos in a paper bag or large bowl and cover it. You want the jalapenos to steam for 30 minutes.
Put on rubber gloves if you have them. I am largely immune to the effects of chile oil on my hands, but dealing with so many chiles affected even me. So my advice is to wear gloves. Rub the skins off the jalapenos near the sink. Don't rinse the chiles, as this removes a lot of flavor. Just rinse your gloved hand from time to time to get stray bits of chile skin off them. When you're done, remove the stems and seeds from the jalapenos.
Arrange the jalapenos on the grate of your smoker. Start with the smoker cold, and bring the temperature up gradually to between 200°F and 225°F, for a total time of 1 to 3 hours, depending on how smoky you want them. I smoke for 2 hours, with the last hour being around 200°F. Once this step is done, the jalapenos can be kept in a jar in the fridge for 2 weeks or so.
To preserve them longer, pour the vinegar into a rimmed baking sheet and lay the jalapenos inside to coat them. Leave them there for 5 minutes. Set another baking sheet out and move the jalapenos to it. Sprinkle the chiles with salt.
Pour a little olive oil into a clean Mason jar. Pack the jalapenos into the jar, covering them with more olive oil. Leave no air pockets. I find that using a chopstick to poke around releases any trapped air bubbles. Cover the jalapenos with 1/2 inch of olive oil and close the lid. They will keep in the fridge for a solid 6 months, and I've used them after a year and they were OK.