When you need to peel capsicum or peppers most chefs and cookbooks recommend roasting it and letting it sweat in a plastic bag. This loosens the skin on the capsicum and makes it easy to peel afterward. The disadvantage to this is that you waste a plastic bag that can neither be easily cleaned or recycled and will just end up in landfill.
An easy alternative is to just put the capsicum in a saucepan or bowl and cover with a lid, plate or chopping board. This traps all the steam just as well as a plastic bag and has the added bonus that all the juice from the capsicums drains to the bottom. This juice is delicious and is amazing in sauces and pestos.