Yes - perennials when their roots don't get below 50F/10C on a sustained basis, annuals otherwise. I have overwintered chile plants here for the last several years. I have taken both the approach of a very severe pruning (down to a stump with about 5 growth nodes), a fair pruning (keeping major branches and stems, and hardly pruning at all (just the smallest come off.) Each approach has its pros and cons. I didn't like taking them down to a stump because you're not that much ahead of the game in the spring - the plant still has to generate lots of new growth before it's going to start producing. A fair pruning helps the plants go dormant, which reduces the upkeep that you need to provide over the winter. Frankly, I like that approach the best. The hardly any pruning at all was fine, but they never really went dormant so I had more upkeep than I wanted.
Some people bring them inside and provide lots of artificial light to keep them growing much as houseplants through the winter. You have to decide for yourself how much effort you want to put in.