As orangelady says, they freeze superbly. I have four plants currently laden with the very attractive Hungariax Wax chillies, and I too will be freezing them when they've ripened. I'll also be trying to make some sweet chilli sauce for the first time for spreading on fish & meat and oriental dishes.
If you're short of freezer space, chillies will also dry well. Put them in a brown paper bag in a warm place such as an airing cupboard for 2 -3 weeks and when all the moisture has disappeared from them, pack them in an airtight glass or plastic container.