Hey Dave. It looks like you're getting good germination results.
I keep them covered until they sprout then uncover them promptly. If you leave them in a high humidity environment too long and then expose them to hot dry conditions (once they've become accustom to the higher humidity) they can suffer and even die. The high humidity environment is helpful not just with germination generally, but in removing the seed coat if the sprout is struggling with that, which is why I try to keep humidity high until I see the sprout is out. Since you have them outside, versus a controlled environment inside, protecting them against drying out or conditions that get too extreme is going to be particularly important until they get bigger and you have more margin for error.
EDIT - to Demented's point, if you can find an area of partial shade or that doesn't get mid-day sun, that can help a lot against drying out and conditions too extreme. If they've been out for a couple days already you've probably seen how current conditions are affecting them. If you just put them out, I'd definitely take precautions. Personally, I start my peppers inside and don't move them outside until they have at least several sets of leaves.
Three cotyledons is not typical, but not uncommon. The first true leaves should be normal.
