I've made my own chili beer for a few years now...
I add a chili (birdseye or something of that nature) to my longnecks when i'm bottling.
Personally, i wouldn't add chilies to the wort, as they could easily introduce an infection to the beer and spoil the whole batch.
Greeny is right tho, if you leave the bottles for too long it becomes too hot, and all you get out of the beer is a throat burn!
The way to get around the burn is to only add chilies to half the bottles, so when you are pouring you can mix the beers to obtain the desirable heat level in each glass.
This said, I guess if you have a keg system, then the only way to spice things up is by adding the chillies to the wort. Just make sure you blanch them in boiling water or something to reduce the risk of infection